tmvtnorm: Truncated Multivariate Normal and Student t Distribution

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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.

Author
Stefan Wilhelm <wilhelm@financial.com> with contributions from Manjunath B G <bgmanjunath@gmail.com>
Date of publication
2015-08-28 01:06:55
Maintainer
Stefan Wilhelm <wilhelm@financial.com>
License
GPL (>= 2)
Version
1.4-10
URLs

View on CRAN

Man pages

dmvnorm.marginal
One-dimensional marginal density functions from a Truncated...
dtmvnorm.marginal2
Bivariate marginal density functions from a Truncated...
dtmvt
Truncated Multivariate Student t Density
gmm.tmvnorm
GMM Estimation for the Truncated Multivariate Normal...
mle.tmvnorm
Maximum Likelihood Estimation for the Truncated Multivariate...
mtmvnorm
Computation of Mean Vector and Covariance Matrix For...
ptmvnorm
Truncated Multivariate Normal Distribution
ptmvnorm.marginal
One-dimensional marginal CDF function for a Truncated...
ptmvt
Truncated Multivariate Student t Distribution
qtmvnorm-marginal
Quantiles of the Truncated Multivariate Normal Distribution...
rtmvnorm
Sampling Random Numbers From The Truncated Multivariate...
rtmvnorm2
Sampling Random Numbers From The Truncated Multivariate...
rtmvt
Sampling Random Numbers From The Truncated Multivariate...
tmvnorm
Truncated Multivariate Normal Density

Files in this package

tmvtnorm
tmvtnorm/inst
tmvtnorm/inst/CITATION
tmvtnorm/inst/doc
tmvtnorm/inst/doc/GibbsSampler.pdf
tmvtnorm/inst/doc/GibbsSampler.Rnw
tmvtnorm/src
tmvtnorm/src/Fortran2CWrapper.c
tmvtnorm/src/Makevars
tmvtnorm/src/linked_list.f90
tmvtnorm/src/rtmvnormgibbs.f90
tmvtnorm/NAMESPACE
tmvtnorm/demo
tmvtnorm/demo/demo1.R
tmvtnorm/demo/demo2.R
tmvtnorm/demo/00Index
tmvtnorm/NEWS
tmvtnorm/R
tmvtnorm/R/dtmvnorm-marginal.R
tmvtnorm/R/ptmvt.R
tmvtnorm/R/rtmvnorm.R
tmvtnorm/R/mtmvnorm.R
tmvtnorm/R/dtmvnorm.R
tmvtnorm/R/rtmvnorm2.R
tmvtnorm/R/bivariate-marginal-density.R
tmvtnorm/R/ptmvt-marginal.R
tmvtnorm/R/qtmvnorm-marginal.R
tmvtnorm/R/tmvnorm-estimation-GMM.R
tmvtnorm/R/rtmvt.R
tmvtnorm/R/checkTmvArgs.R
tmvtnorm/R/tmvnorm-estimation.R
tmvtnorm/R/dtmvt.R
tmvtnorm/R/ptmvnorm-marginal.R
tmvtnorm/R/ptmvnorm.R
tmvtnorm/vignettes
tmvtnorm/vignettes/tmvtnorm.bib
tmvtnorm/vignettes/GibbsSampler.Rnw
tmvtnorm/MD5
tmvtnorm/build
tmvtnorm/build/vignette.rds
tmvtnorm/DESCRIPTION
tmvtnorm/man
tmvtnorm/man/rtmvnorm.Rd
tmvtnorm/man/gmm.tmvnorm.Rd
tmvtnorm/man/tmvnorm.Rd
tmvtnorm/man/ptmvnorm.Rd
tmvtnorm/man/dtmvt.Rd
tmvtnorm/man/ptmvt.Rd
tmvtnorm/man/mle.tmvnorm.Rd
tmvtnorm/man/dtmvnorm.marginal2.Rd
tmvtnorm/man/qtmvnorm-marginal.Rd
tmvtnorm/man/mtmvnorm.Rd
tmvtnorm/man/ptmvnorm.marginal.Rd
tmvtnorm/man/rtmvnorm2.Rd
tmvtnorm/man/rtmvt.Rd
tmvtnorm/man/dmvnorm.marginal.Rd