Description Usage Arguments Value References

View source: R/clustMD_UtilityFunctions.R

This function returns the mean and covariance matrix of a truncated multivariate normal distribution. It takes as inputs a vector of lower thresholds and another of upper thresholds along with the mean and covariance matrix of the untruncated distribution. This function follows the method proposed by Kan \& Robotti (2016).

1 | ```
dtmvnom(a, b, mu, S)
``` |

`a` |
a vector of lower thresholds. |

`b` |
a vector of upper thresholds. |

`mu` |
the mean of the untruncated distribution. |

`S` |
the covariance matrix of the untruncated distribution. |

Returns a list of two elements. The first element, `tmean`

, is
the mean of the truncated multivariate normal distribution. The second
element, `tvar`

, is the covariance matrix of the truncated
distribution.

Kan, R., & Robotti, C. (2016). On Moments of Folded and Truncated Multivariate Normal Distributions. Available at SSRN.

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