RANDNORMTAIL

RANDNORMTAIL random variate from the upper tail of a normal distribution with mean 0

Synopsis

RANDNORMTAIL(a,σ)

Arguments

a: lower limit of the tail

σ: standard deviation of the normal distribution

Note

The method is based on Marsaglia's famous rectangle-wedge-tail algorithm (Ann Math Stat 32, 894-899 (1961)), with this aspect explained in Knuth, v2, 3rd ed, p139, 586 (exercise 11).

See also

RAND.