tmvtnorm: Truncated Multivariate Normal and Student t Distribution

Random number generation for the truncated multivariate normal and Student t distribution. Computes probabilities, quantiles and densities, including one-dimensional and bivariate marginal densities. Computes first and second moments (i.e. mean and covariance matrix) for the double-truncated multinormal case.

Package details

AuthorStefan Wilhelm <wilhelm@financial.com> with contributions from Manjunath B G <bgmanjunath@gmail.com>
MaintainerStefan Wilhelm <wilhelm@financial.com>
LicenseGPL (>= 2)
Version1.5
URL https://www.r-project.org
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("tmvtnorm")

Try the tmvtnorm package in your browser

Any scripts or data that you put into this service are public.

tmvtnorm documentation built on March 22, 2022, 9:06 a.m.