Simulation of truncated normal variables

Abstract

We provide in this paper simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with restricted parameter space for any covariance structure.

This 1992 paper appeared in 1995 in Statistics and Computing and the gist of it is contained in Monte Carlo Statistical Methods (2004), but I receive weekly requests for reprints so here it is!

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