tmvtnorm: Truncated Multivariate Normal and Student t Distribution

Random number generation for the truncated multivariate normal and Student t distribution. Computes probabilities, quantiles and densities, including one-dimensional and bivariate marginal densities. Computes first and second moments (i.e. mean and covariance matrix) for the double-truncated multinormal case.

Package details

AuthorStefan Wilhelm <wilhelm@financial.com> with contributions from Manjunath B G <bgmanjunath@gmail.com>
MaintainerStefan Wilhelm <wilhelm@financial.com>
LicenseGPL (>= 2)
Version1.4-10
URL http://www.r-project.org
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("tmvtnorm")

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tmvtnorm documentation built on May 2, 2019, 7:59 a.m.