diff --git a/src/gluonts/torch/distributions/__init__.py b/src/gluonts/torch/distributions/__init__.py
index 18a27245c6..e279e023df 100644
--- a/src/gluonts/torch/distributions/__init__.py
+++ b/src/gluonts/torch/distributions/__init__.py
@@ -36,6 +36,7 @@
     SplicedBinnedParetoOutput,
 )
 from .studentT import StudentTOutput
+from .truncated_normal import TruncatedNormal, TruncatedNormalOutput
 
 __all__ = [
     "AffineTransformed",
@@ -62,4 +63,6 @@
     "SplicedBinnedPareto",
     "SplicedBinnedParetoOutput",
     "StudentTOutput",
+    "TruncatedNormal",
+    "TruncatedNormalOutput",
 ]
diff --git a/src/gluonts/torch/distributions/truncated_normal.py b/src/gluonts/torch/distributions/truncated_normal.py
new file mode 100644
index 0000000000..a3ff655b1f
--- /dev/null
+++ b/src/gluonts/torch/distributions/truncated_normal.py
@@ -0,0 +1,292 @@
+# Copyright 2018 Amazon.com, Inc. or its affiliates. All Rights Reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License").
+# You may not use this file except in compliance with the License.
+# A copy of the License is located at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# or in the "license" file accompanying this file. This file is distributed
+# on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either
+# express or implied. See the License for the specific language governing
+# permissions and limitations under the License.
+
+import math
+from numbers import Number
+from typing import Dict, Optional, Tuple, Union
+
+import torch
+from torch.distributions import constraints
+from torch.distributions.utils import broadcast_all
+
+import torch.nn.functional as F
+from .distribution_output import DistributionOutput
+from gluonts.core.component import validated
+from torch.distributions import Distribution
+
+CONST_SQRT_2 = math.sqrt(2)
+CONST_INV_SQRT_2PI = 1 / math.sqrt(2 * math.pi)
+CONST_INV_SQRT_2 = 1 / math.sqrt(2)
+CONST_LOG_INV_SQRT_2PI = math.log(CONST_INV_SQRT_2PI)
+CONST_LOG_SQRT_2PI_E = 0.5 * math.log(2 * math.pi * math.e)
+
+
+class TruncatedNormal(Distribution):
+    """Implements a Truncated Normal distribution with location scaling.
+
+    Location scaling prevents the location to be "too far" from 0, which ultimately
+    leads to numerically unstable samples and poor gradient computation (e.g. gradient explosion).
+    In practice, the location is computed according to
+
+        .. math::
+            loc = tanh(loc / upscale) * upscale.
+
+    This behaviour can be disabled by switching off the tanh_loc parameter (see below).
+
+    Parameters
+    ----------
+    loc:
+        normal distribution location parameter
+    scale:
+        normal distribution sigma parameter (squared root of variance)
+    min:
+        minimum value of the distribution. Default = -1.0
+    max:
+        maximum value of the distribution. Default = 1.0
+    upscale:
+        scaling factor. Default = 5.0
+    tanh_loc:
+        if ``True``, the above formula is used for
+        the location scaling, otherwise the raw value is kept.
+        Default is ``False``
+
+    References
+    ----------
+    - https://people.sc.fsu.edu/~jburkardt/presentations/truncated_normal.pdf
+
+    Notes
+    -----
+    This implementation is strongly based on:
+        - https://github.com/pytorch/rl/blob/main/torchrl/modules/distributions/truncated_normal.py
+        - https://github.com/toshas/torch_truncnorm
+    """
+
+    arg_constraints = {
+        "loc": constraints.real,
+        "scale": constraints.greater_than(1e-6),
+    }
+
+    has_rsample = True
+    eps = 1e-6
+
+    def __init__(
+        self,
+        loc: torch.Tensor,
+        scale: torch.Tensor,
+        min: Union[torch.Tensor, float] = -1.0,
+        max: Union[torch.Tensor, float] = 1.0,
+        upscale: Union[torch.Tensor, float] = 5.0,
+        tanh_loc: bool = False,
+    ):
+        scale = scale.clamp_min(self.eps)
+        if tanh_loc:
+            loc = (loc / upscale).tanh() * upscale
+        loc = loc + (max - min) / 2 + min
+
+        self.min = min
+        self.max = max
+        self.upscale = upscale
+        self.loc, self.scale, a, b = broadcast_all(
+            loc, scale, self.min, self.max
+        )
+        self._non_std_a = a
+        self._non_std_b = b
+        self.a = (a - self.loc) / self.scale
+        self.b = (b - self.loc) / self.scale
+
+        if isinstance(a, Number) and isinstance(b, Number):
+            batch_shape = torch.Size()
+        else:
+            batch_shape = self.a.size()
+
+        super(TruncatedNormal, self).__init__(batch_shape)
+        if self.a.dtype != self.b.dtype:
+            raise ValueError("Truncation bounds types are different")
+        if any(
+            (self.a >= self.b)
+            .view(
+                -1,
+            )
+            .tolist()
+        ):
+            raise ValueError("Incorrect truncation range")
+
+        eps = self.eps
+        self._dtype_min_gt_0 = eps
+        self._dtype_max_lt_1 = 1 - eps
+        self._little_phi_a = self._little_phi(self.a)
+        self._little_phi_b = self._little_phi(self.b)
+        self._big_phi_a = self._big_phi(self.a)
+        self._big_phi_b = self._big_phi(self.b)
+        self._Z = (self._big_phi_b - self._big_phi_a).clamp(eps, 1 - eps)
+        self._log_Z = self._Z.log()
+        little_phi_coeff_a = torch.nan_to_num(self.a, nan=math.nan)
+        little_phi_coeff_b = torch.nan_to_num(self.b, nan=math.nan)
+        self._lpbb_m_lpaa_d_Z = (
+            self._little_phi_b * little_phi_coeff_b
+            - self._little_phi_a * little_phi_coeff_a
+        ) / self._Z
+        self._mean = -(self._little_phi_b - self._little_phi_a) / self._Z
+        self._variance = (
+            1
+            - self._lpbb_m_lpaa_d_Z
+            - ((self._little_phi_b - self._little_phi_a) / self._Z) ** 2
+        )
+        self._entropy = (
+            CONST_LOG_SQRT_2PI_E + self._log_Z - 0.5 * self._lpbb_m_lpaa_d_Z
+        )
+        self._log_scale = self.scale.log()
+        self._mean_non_std = self._mean * self.scale + self.loc
+        self._variance_non_std = self._variance * self.scale**2
+        self._entropy_non_std = self._entropy + self._log_scale
+
+    @constraints.dependent_property
+    def support(self):
+        return constraints.interval(self.a, self.b)
+
+    @property
+    def mean(self):
+        return self._mean_non_std
+
+    @property
+    def variance(self):
+        return self._variance_non_std
+
+    @property
+    def entropy(self):
+        return self._entropy_non_std
+
+    @staticmethod
+    def _little_phi(x):
+        return (-(x**2) * 0.5).exp() * CONST_INV_SQRT_2PI
+
+    def _big_phi(self, x):
+        phi = 0.5 * (1 + (x * CONST_INV_SQRT_2).erf())
+        return phi.clamp(self.eps, 1 - self.eps)
+
+    @staticmethod
+    def _inv_big_phi(x):
+        return CONST_SQRT_2 * (2 * x - 1).erfinv()
+
+    def cdf_truncated_standard_normal(self, value):
+        return ((self._big_phi(value) - self._big_phi_a) / self._Z).clamp(0, 1)
+
+    def icdf_truncated_standard_normal(self, value):
+        y = self._big_phi_a + value * self._Z
+        y = y.clamp(self.eps, 1 - self.eps)
+        return self._inv_big_phi(y)
+
+    def log_prob_truncated_standard_normal(self, value):
+        return CONST_LOG_INV_SQRT_2PI - self._log_Z - (value**2) * 0.5
+
+    def _to_std_rv(self, value):
+        return (value - self.loc) / self.scale
+
+    def _from_std_rv(self, value):
+        return value * self.scale + self.loc
+
+    def cdf(self, value):
+        return self.cdf_truncated_standard_normal(self._to_std_rv(value))
+
+    def icdf(self, value):
+        sample = self._from_std_rv(self.icdf_truncated_standard_normal(value))
+
+        # clamp data but keep gradients
+        sample_clip = torch.stack(
+            [sample.detach(), self._non_std_a.detach().expand_as(sample)], 0
+        ).max(0)[0]
+        sample_clip = torch.stack(
+            [sample_clip, self._non_std_b.detach().expand_as(sample)], 0
+        ).min(0)[0]
+        sample.data.copy_(sample_clip)
+        return sample
+
+    def log_prob(self, value):
+        a = self._non_std_a + self._dtype_min_gt_0
+        a = a.expand_as(value)
+        b = self._non_std_b - self._dtype_min_gt_0
+        b = b.expand_as(value)
+        value = torch.min(torch.stack([value, b], -1), dim=-1)[0]
+        value = torch.max(torch.stack([value, a], -1), dim=-1)[0]
+        value = self._to_std_rv(value)
+        return self.log_prob_truncated_standard_normal(value) - self._log_scale
+
+    def rsample(self, sample_shape=None):
+        if sample_shape is None:
+            sample_shape = torch.Size([])
+        shape = self._extended_shape(sample_shape)
+        p = torch.empty(shape, device=self.a.device).uniform_(
+            self._dtype_min_gt_0, self._dtype_max_lt_1
+        )
+        return self.icdf(p)
+
+
+class TruncatedNormalOutput(DistributionOutput):
+    distr_cls: type = TruncatedNormal
+
+    @validated()
+    def __init__(
+        self,
+        min: float = -1.0,
+        max: float = 1.0,
+        upscale: float = 5.0,
+        tanh_loc: bool = False,
+    ) -> None:
+        assert min < max, "max must be strictly greater than min"
+
+        super().__init__(self)
+
+        self.min = min
+        self.max = max
+        self.upscale = upscale
+        self.tanh_loc = tanh_loc
+        self.args_dim: Dict[str, int] = {
+            "loc": 1,
+            "scale": 1,
+        }
+
+    @classmethod
+    def domain_map(
+        cls,
+        loc: torch.Tensor,
+        scale: torch.Tensor,
+    ):
+        scale = F.softplus(scale)
+
+        return (
+            loc.squeeze(-1),
+            scale.squeeze(-1),
+        )
+
+    # Overwrites the parent class method: We pass constant float and
+    # boolean parameters across tensors
+    def distribution(
+        self,
+        distr_args,
+        loc: Optional[torch.Tensor] = None,
+        scale: Optional[torch.Tensor] = None,
+    ) -> Distribution:
+        (loc, scale) = distr_args
+
+        return TruncatedNormal(
+            loc=loc,
+            scale=scale,
+            upscale=self.upscale,
+            min=self.min,
+            max=self.max,
+            tanh_loc=self.tanh_loc,
+        )
+
+    @property
+    def event_shape(self) -> Tuple:
+        return ()
diff --git a/test/torch/distribution/test_truncated_normal.py b/test/torch/distribution/test_truncated_normal.py
new file mode 100644
index 0000000000..c1582af0de
--- /dev/null
+++ b/test/torch/distribution/test_truncated_normal.py
@@ -0,0 +1,52 @@
+# Copyright 2018 Amazon.com, Inc. or its affiliates. All Rights Reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License").
+# You may not use this file except in compliance with the License.
+# A copy of the License is located at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# or in the "license" file accompanying this file. This file is distributed
+# on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either
+# express or implied. See the License for the specific language governing
+# permissions and limitations under the License.
+
+import pytest
+import torch
+from gluonts.torch.distributions import TruncatedNormal
+
+# Mostly taken from https://github.com/pytorch/rl/blob/main/test/test_distributions.py#L127
+
+
+@pytest.mark.parametrize(
+    "min", [-torch.ones(3), -1, 3 * torch.tensor([-1.0, -2.0, -0.5]), -0.1]
+)
+@pytest.mark.parametrize(
+    "max", [torch.ones(3), 1, 3 * torch.tensor([1.0, 2.0, 0.5]), 0.1]
+)
+@pytest.mark.parametrize(
+    "vecs",
+    [
+        (torch.tensor([0.1, 10.0, 5.0]), torch.tensor([0.1, 10.0, 5.0])),
+        (torch.zeros(7, 3), torch.ones(7, 3)),
+    ],
+)
+@pytest.mark.parametrize(
+    "upscale", [torch.ones(3), 1, 3 * torch.tensor([1.0, 2.0, 0.5]), 3]
+)
+@pytest.mark.parametrize("shape", [torch.Size([]), torch.Size([3, 4])])
+def test_truncnormal(min, max, vecs, upscale, shape):
+    torch.manual_seed(0)
+    d = TruncatedNormal(
+        *vecs,
+        upscale=upscale,
+        min=min,
+        max=max,
+    )
+    for _ in range(100):
+        a = d.rsample(shape)
+        assert a.shape[: len(shape)] == shape
+        assert (a >= d.min).all()
+        assert (a <= d.max).all()
+        lp = d.log_prob(a)
+        assert torch.isfinite(lp).all()