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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