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 <[email protected]> with contributions from Manjunath B G <[email protected]>
MaintainerStefan Wilhelm <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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tmvtnorm documentation built on May 29, 2017, 9:36 p.m.