This function provides random variates from the upper tail of a Gaussian distribution with standard deviation sigma. The values returned are larger than the lower limit a, which must be positive. 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).
The probability distribution for Gaussian tail random variates is,
for \(x > a\) where \(N(a;\sigma)\) is the normalization constant,
This function computes the probability density \(p(x)\) at \(x\) for a Gaussian tail distribution with standard deviation sigma and lower limit a, using the formula given above.
These functions compute results for the tail of a unit Gaussian distribution. They are equivalent to the functions above with a standard deviation of one, sigma = 1.