mnormt-package | R Documentation |

Functions are provided for computing the density and the distribution
function of d-dimensional normal and *t* random variables,
possibly truncated (on one side or two sides, with componentwise choice),
and for generating random vectors sampled from these distributions,
except sampling from the truncated *t*. Moments of arbitrary order of
a truncated normal are computed, and converted to cumulants up to order 4.

Probabilities are computed via non-Monte Carlo methods; different routines
are used in the case `d=1, d=2, d=3, d>2`

, if `d`

denotes the
dimensionality.

This package and its documentation are usable under the terms of the “GNU General Public License” version 3 or version 2, as you prefer; a copy of them is available from https://www.R-project.org/Licenses/.

Adelchi Azzalini (R code and package creation) and Alan Genz (Fortran code, see the references below; this code incorporates routines of other authors).

Genz, A. (1992).
Numerical Computation of Multivariate Normal Probabilities.
*J. Computational and Graphical Statist.* **1**, 141-149.

Genz, A. (1993). Comparison of methods for the computation of
multivariate normal probabilities.
*Computing Science and Statistics*, **25**, 400-405.

Genz, A.: Fortran code downloaded in 2006 from the author web page, located at https://www.math.wsu.edu/faculty/genz/software/software.html, as of 2020-06-01.

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