Draw random number from Normal distribution past a threshold value
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Imner Renmi
il 22 Giu 2016
Commentato: Roger Stafford
il 23 Giu 2016
Hi,
I want to draw values that are larger than 1.96 from a normal distribution. Anyone know how I can do this in matlab. Is there a built-in function to do this?
Note, of course I could use rejection sampling, but I want to draw a vector of 10000 values larger than 1.96 and I want to do this 5000 times. Using rejection sampling could be extremely time-consuming and I want to avoid that.
Thank you very much for your help.
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Roger Stafford
il 22 Giu 2016
Modificato: Roger Stafford
il 22 Giu 2016
If your normal distribution without the truncation would have been mean = mu and standard deviation = sig, then do this:
r0 = normcdf(1.96,mu,sig); % The probability that sample is below 1.96
x = norminv((1-r0)*rand(1,n)+r0,mu,sig);
The value n is the number of desired samples. There is no rejection in this method. You should realize that this is no longer a normal distribution and its mean and standard deviation are different from 'mu' and 'sig'.
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Roger Stafford
il 23 Giu 2016
This is to provide a statistically uniform distribution between r0 and 1 as input to the 'norminv' function so that it will generate only values starting at 1.96 and on higher in accordance with that end of the normal distribution. Try it and see.
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Walter Roberson
il 22 Giu 2016
The method of operation is not documented; it might use a rejection method internally.
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