tmvtnsim-package: Truncated Multivariate Normal and t Distribution Simulation
In tmvtnsim: Truncated Multivariate Normal and t Distribution Simulation
tmvtnsim-package R Documentation
Truncated Multivariate Normal and t Distribution Simulation
Description
Simulation of random vectors from truncated multivariate
normal and t distributions based on the algorithms proposed by
Yifang Li and Sujit K. Ghosh (2015) <doi:10.1080/15598608.2014.996690>.
We allow the mean, lower and upper bounds to differ across samples
to accommodate regression problems. The algorithms are implemented
in C++ and hence are highly efficient.
Author(s)
Kaifeng Lu, kaifenglu@gmail.com
References
Yifang Li and Sujit K. Ghosh. Efficient Sampling Methods for Truncated
Multivariate Normal and Student-t Distributions Subject to Linear
Inequality Constraints. Journal of Statistical Theory and Practice.
2015;9:712-732. doi: 10.1080/15598608.2014.996690
tmvtnsim documentation built on Oct. 10, 2022, 1:06 a.m.
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| tmvtnsim-package | R Documentation |
Truncated Multivariate Normal and t Distribution Simulation
Description
Simulation of random vectors from truncated multivariate normal and t distributions based on the algorithms proposed by Yifang Li and Sujit K. Ghosh (2015) <doi:10.1080/15598608.2014.996690>. We allow the mean, lower and upper bounds to differ across samples to accommodate regression problems. The algorithms are implemented in C++ and hence are highly efficient.
Author(s)
Kaifeng Lu, kaifenglu@gmail.com
References
Yifang Li and Sujit K. Ghosh. Efficient Sampling Methods for Truncated Multivariate Normal and Student-t Distributions Subject to Linear Inequality Constraints. Journal of Statistical Theory and Practice. 2015;9:712-732. doi: 10.1080/15598608.2014.996690
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