MATLAB: Draw random number from a truncated distribution with upper bound

Question

Hello everyone,

how can I draw a random number from a truncated normal distribution with mean 0 and varying var (sigma^2)? The upper bound of the truncation value varies within my time series. What I did first is to specify the probability distribution for the different variance values (1xn matrix). After that, I draw a truncated normal distribution for each "row"/ new upper bound. Since I have a huge time series, this step takes forever.

for i = 1:size(pd,2);
t(:,i) = truncate(pd(size(pd,1),i),-inf,upperBound(:,i)));
end

Whenever, this step would be executed I would draw a random number out of each truncated distribution, using

r = random(t(:,1),1);

However, I am not sure if that will work, though.

Is there a way to predefine the matrix for the specification of t? A normal zero/nan etc. matrix doesnt work. And how can I speed up the process to draw from a truncated normal distribution with varying upper bound values?

Answer 1

https://de.mathworks.com/matlabcentral/fileexchange/53180-truncated-normal-generator

Best wishes

Torsten.