truncated_normal_rule


truncated_normal_rule, a MATLAB code which computes a quadrature rule for a normal probability density function (PDF), sometimes called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Licensing:

The computer code and data files made available on this web page are distributed under the GNU LGPL license.

Languages:

truncated_normal_rule is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

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Reference:

  1. Gene Golub, John Welsch,
    Calculation of Gaussian Quadrature Rules,
    Mathematics of Computation,
    Volume 23, Number 106, April 1969, pages 221-230.
  2. Norman Johnson, Samuel Kotz, Narayanaswamy Balakrishnan,
    Continuous Univariate Distributions,
    Second edition,
    Wiley, 1994,
    ISBN: 0471584940,
    LC: QA273.6.J6.

Source Code:


Last revised on 11 April 2019.