tmvtnsim-package: Truncated Multivariate Normal and t Distribution Simulation

tmvtnsim-packageR 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.