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.

Install the latest version of this package by entering the following in R:
install.packages("tmvtnorm")
AuthorStefan Wilhelm <wilhelm@financial.com> with contributions from Manjunath B G <bgmanjunath@gmail.com>
Date of publication2015-08-28 01:06:55
MaintainerStefan Wilhelm <wilhelm@financial.com>
LicenseGPL (>= 2)
Version1.4-10
http://www.r-project.org

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