tmvnsim: Truncated Multivariate Normal Simulation
Version 1.0-2

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.

Getting started

Package details

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
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("tmvnsim")

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tmvnsim documentation built on May 30, 2017, 7:24 a.m.