[SciPy-User] random variable for truncated multivariate normal and t distributions

[Sturla Molden]

Den 02.06.2011 16:35, skrev josef.pktd at gmail.com:
> (another random question)
>
> I would like to generate random variables for multivariate normal and
> t distributions that are truncated on a rectangular area (element wise
> upper and lower bounds).
>
> Is there anything better available than sampling from the un-truncated
> distributions and throwing away the out of bounds samples ?

Perhaps Metropolis-Hastings?

Sturla