Half-normal distribution

In probability theory and statistics, the half-

normal distribution is a special case of the
Half-normal distribution
folded normal distribution. Probability density function

Let follow an ordinary normal distribution,

. Then, follows a half-
normal distribution. Thus, the half-normal
distribution is a fold at the mean of an ordinary
normal distribution with mean zero.

Properties
Using the parametrization of the normal
distribution, the probability density function
(PDF) of the half-normal is given by Cumulative distribution function

Parameters — (scale)
Support
PDF

CDF

Quantile
Mean

Median
Mode
Variance

Skewness
 Ex. kurtosis

Entropy

where .

Alternatively using a scaled precision (inverse of the variance) parametrization (to avoid issues if is near

zero), obtained by setting , the probability density function is given by

where .

The cumulative distribution function (CDF) is given by

Using the change-of-variables , the CDF can be written as

where erf is the error function, a standard function in many mathematical software packages.

The quantile function (or inverse CDF) is written:

where and is the inverse error function

The expectation is then given by

The variance is given by

Since this is proportional to the variance σ2 of X, σ can be seen as a scale parameter of the new distribution.
The differential entropy of the half-normal distribution is exactly one bit less the differential entropy of a
zero-mean normal distribution with the same second moment about 0. This can be understood intuitively
since the magnitude operator reduces information by one bit (if the probability distribution at its input is
even). Alternatively, since a half-normal distribution is always positive, the one bit it would take to record
whether a standard normal random variable were positive (say, a 1) or negative (say, a 0) is no longer
necessary. Thus,

Applications
The half-normal distribution is commonly utilized as a prior probability distribution for variance parameters
in Bayesian inference applications.[1][2]

Parameter estimation
Given numbers drawn from a half-normal distribution, the unknown parameter of that
distribution can be estimated by the method of maximum likelihood, giving

The bias is equal to

which yields the bias-corrected maximum likelihood estimator

Related distributions
The distribution is a special case of the folded normal distribution with μ = 0.
It also coincides with a zero-mean normal distribution truncated from below at zero (see
truncated normal distribution)
If Y has a half-normal distribution, then (Y/σ)2 has a chi square distribution with 1 degree of
freedom, i.e. Y/σ has a chi distribution with 1 degree of freedom.
The half-normal distribution is a special case of the generalized gamma distribution with
d = 1, p = 2, a =  .
If Y has a half-normal distribution, Y -2 has a Levy distribution
The Rayleigh distribution is a moment-tilted and scaled generalization of the half-normal
distribution.
 Modified half-normal distribution[3] with the pdf on is given as

, where denotes the Fox–

Wright Psi function.

See also
Half-t distribution
Truncated normal distribution
Folded normal distribution
Rectified Gaussian distribution

References
1. Gelman, A. (2006), "Prior distributions for variance parameters in hierarchical models",
Bayesian Analysis, 1 (3): 515–534, doi:10.1214/06-ba117a (https://doi.org/10.1214%2F06-b
a117a)
2. Röver, C.; Bender, R.; Dias, S.; Schmid, C.H.; Schmidli, H.; Sturtz, S.; Weber, S.; Friede, T.
(2021), "On weakly informative prior distributions for the heterogeneity parameter in
Bayesian random‐effects meta‐analysis", Research Synthesis Methods, 12 (4): 448–474,
arXiv:2007.08352 (https://arxiv.org/abs/2007.08352), doi:10.1002/jrsm.1475 (https://doi.org/1
0.1002%2Fjrsm.1475), PMID 33486828 (https://pubmed.ncbi.nlm.nih.gov/33486828),
S2CID 220546288 (https://api.semanticscholar.org/CorpusID:220546288)
3. Sun, Jingchao; Kong, Maiying; Pal, Subhadip (22 June 2021). "The Modified-Half-Normal
distribution: Properties and an efficient sampling scheme" (https://www.tandfonline.com/doi/
abs/10.1080/03610926.2021.1934700?journalCode=lsta20). Communications in Statistics -
Theory and Methods: 1–23. doi:10.1080/03610926.2021.1934700 (https://doi.org/10.1080%
2F03610926.2021.1934700). ISSN 0361-0926 (https://www.worldcat.org/issn/0361-0926).
S2CID 237919587 (https://api.semanticscholar.org/CorpusID:237919587).

Further reading
Leone, F. C.; Nelson, L. S.; Nottingham, R. B. (1961), "The folded normal distribution",
Technometrics, 3 (4): 543–550, doi:10.2307/1266560 (https://doi.org/10.2307%2F1266560),
hdl:2027/mdp.39015095248541 (https://hdl.handle.net/2027%2Fmdp.39015095248541),
JSTOR 1266560 (https://www.jstor.org/stable/1266560)

External links
Half-Normal Distribution (http://mathworld.wolfram.com/Half-NormalDistribution.html) at
MathWorld

(note that MathWorld uses the parameter

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