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

[Bruce Southey]

On 06/02/2011 09:35 AM, josef.pktd at gmail.com wrote:
> (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 ?
>
> Josef
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You have seen R's tmvtnorm?
cran.r-project.org/web/packages/tmvtnorm

Bruce