TruncatedMVN.jl

Reimplementation of a truncated multivariate distribution with fast, exact minimax-tilting based sampling.
Author Eliassj
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Updated Last
6 Months Ago
Started In
May 2024

TruncatedMVN.jl

Julia reimplementation of a truncated multivariate normal distribution with perfect sampling.

Distribution and sampling method by Botev_2017.

The code is based on MATLAB implementation by Zdravko Botev and Python implementation by Paul Brunzema. These may be found here: MATLAB by Botev, Python by Brunzema

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