LOG_NORMAL_TRUNCATED_AB
The Log Normal PDF Truncated to [A,B]

LOG_NORMAL_TRUNCATED_AB is a C library which can evaluate quantities associated with the log normal Probability Density Function (PDF) truncated to the interval [A,B].

Licensing:

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

Languages:

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

Related Data and Programs:

LOG_NORMAL, a C library which samples the log normal distribution.

NORMAL, a C library which samples the normal distribution.

PDFLIB, a C library which evaluates Probability Density Functions (PDF's) and produces random samples from them, including beta, binomial, chi, exponential, gamma, inverse chi, inverse gamma, multinomial, normal, scaled inverse chi, and uniform.

PROB, a C library which evaluates, samples, inverts, and characterizes a number of Probability Density Functions (PDF's) and Cumulative Density Functions (CDF's), including anglit, arcsin, benford, birthday, bernoulli, beta_binomial, beta, binomial, bradford, burr, cardiod, cauchy, chi, chi squared, circular, cosine, deranged, dipole, dirichlet mixture, discrete, empirical, english sentence and word length, error, exponential, extreme values, f, fisk, folded normal, frechet, gamma, generalized logistic, geometric, gompertz, gumbel, half normal, hypergeometric, inverse gaussian, laplace, levy, logistic, log normal, log series, log uniform, lorentz, maxwell, multinomial, nakagami, negative binomial, normal, pareto, planck, poisson, power, quasigeometric, rayleigh, reciprocal, runs, sech, semicircular, student t, triangle, uniform, von mises, weibull, zipf.

TRUNCATED_NORMAL, a C library which works with the truncated normal distribution over [A,B], or [A,+oo) or (-oo,B], returning the probability density function (PDF), the cumulative density function (CDF), the inverse CDF, the mean, the variance, and sample values.

UNIFORM, a C library which samples the uniform distribution.

Reference:

Paul Soederlind,
Lecture Notes - Econometrics: Some Statistics,
8 July 2013.

Source Code:

• log_normal_truncated_ab.c, the source code.
• log_normal_truncated_ab.h, the include file.

Examples and Tests:

• log_normal_truncated_ab_test.c a sample calling program.
• log_normal_truncated_ab_test.txt, the output file.

List of Routines:

• LOG_NORMAL_CDF evaluates the Log Normal CDF.
• LOG_NORMAL_CDF_INV inverts the Log Normal CDF.
• LOG_NORMAL_PDF evaluates the Log Normal PDF.
• LOG_NORMAL_TRUNCATED_AB_CDF evaluates the Log Normal truncated AB CDF.
• LOG_NORMAL_TRUNCATED_AB_CDF_INV inverts the Log Normal truncated AB CDF.
• LOG_NORMAL_TRUNCATED_AB_CHECK checks the Log Normal truncated AB PDF.
• LOG_NORMAL_TRUNCATED_AB_MEAN: mean of the Log Normal truncated AB PDF.
• LOG_NORMAL_TRUNCATED_AB_PDF evaluates the Log Normal truncated AB PDF.
• LOG_NORMAL_TRUNCATED_AB_SAMPLE samples the Log Normal truncated AB PDF.
• LOG_NORMAL_TRUNCATED_AB_VARIANCE: variance of Log Normal truncated AB PDF.
• NORMAL_01_CDF evaluates the Normal 01 CDF.
• NORMAL_01_CDF_INV inverts the standard normal CDF.
• NORMAL_CDF evaluates the Normal CDF.
• NORMAL_CDF_INV inverts the Normal CDF.
• NORMAL_CHECK checks the parameters of the Normal PDF.
• R8_UNIFORM_AB returns a pseudorandom R8 scaled to [A,B].
• R8POLY_VALUE_HORNER evaluates a polynomial using Horner's method.
• R8VEC_MAX returns the value of the maximum element in an R8VEC.
• R8VEC_MEAN returns the mean of an R8VEC.
• R8VEC_MIN returns the value of the minimum element in an R8VEC.
• R8VEC_VARIANCE returns the variance of an R8VEC.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

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