Fix truncated normal MGF implementation

Author: ararslan

src/truncated/normal.jl

@@ -122,11 +122,11 @@ function mgf(d::Truncated{Normal{T},Continuous}, t::Real) where {T}
     d0 = d.untruncated
     μ = mean(d0)
     σ = std(d0)
-    σt = σ * t
-    a = (minimum(d) - μ) / σ - σt
-    b = (maximum(d) - μ) / σ - σt
+    σ²t = σ^2 * t
+    a = (minimum(d) - μ) / σ - σ²t
+    b = (maximum(d) - μ) / σ - σ²t
     stdnorm = Normal{T}(zero(T), one(T))
-    return exp(μ * t + σt^2 / 2 + logdiffcdf(d0, b, a) - d.logtp)
+    return exp(t * (μ + σ²t / 2) + logdiffcdf(stdnorm, b, a) - d.logtp)
 end
 
 ### sampling