tmvnsim: Truncated Multivariate Normal Simulation

Importance sampling from the truncated multivariate normal using the GHK (Geweke-Hajivassiliou-Keane) simulator. Unlike Gibbs sampling which can get stuck in one truncation sub-region depending on initial values, this package allows truncation based on disjoint regions that are created by truncation of absolute values. The GHK algorithm uses simple Cholesky transformation followed by recursive simulation of univariate truncated normals hence there are also no convergence issues. Importance sample is returned along with sampling weights, based on which, one can calculate integrals over truncated regions for multivariate normals.

AuthorSamsiddhi Bhattacjarjee <sb1@nibmg.ac.in>
Date of publication2016-12-15 09:05:14
MaintainerSamsiddhi Bhattacharjee <sb1@nibmg.ac.in>
LicenseGPL-2
Version1.0-2
https://www.r-project.org

View on CRAN

Files in this package

tmvnsim
tmvnsim/src
tmvnsim/src/Fortran2CWrapper.c
tmvnsim/src/Makevars
tmvnsim/src/tmvnghk.f90
tmvnsim/NAMESPACE
tmvnsim/R
tmvnsim/R/truncsimf.R
tmvnsim/MD5
tmvnsim/DESCRIPTION
tmvnsim/man
tmvnsim/man/tmvnsim.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.