TruncatedNormal

Install with

using Pkg
Pkg.add(url="https://github.com/cossio/TruncatedNormal.jl")

This package does not import any symbols. It can be imported as:

import TruncatedNormal as TruncNorm

to avoid typing a long name everytime.

The following functions are defined.

Mean of the truncated standard normal distribution:

TruncNorm.tnmean(a,b)

Mean of the truncated normal distribution, where μ,σ are the mean and standard deviation of the untruncated distribution:

TruncNorm.tnmean(a, b, μ, σ)

Variance of the truncated standard normal distribution:

TruncNorm.tnvar(a,b)

Variance of the truncated normal distribution, where μ,σ are the mean and standard deviation of the untruncated distribution:

TruncNorm.tnvar(a, b, μ, σ)

It works even if the truncation interval is far from the mode of the distribution. See https://github.com/cossio/TruncatedNormal.jl/blob/master/notes/normal.pdf for mathematical details.