Description Usage Arguments Value References
Simulates realizations from a truncated multivariate normal with mean mu, covariance matrix sigma in the bounds lower upper.
1 | trmvrnorm_rej_cpp(n, mu, sigma, lower, upper, verb)
|
n |
number of simulations. |
mu |
mean vector. |
sigma |
covariance matrix. |
lower |
vector of lower bounds. |
upper |
vector of upper bounds. |
verb |
level of verbosity: if lower than 3 nothing, 3 minimal, 4 extended. |
A matrix of size d x n containing the samples.
Horrace, W. C. (2005). Some results on the multivariate truncated normal distribution. Journal of Multivariate Analysis, 94(1):209–221.
Robert, C. P. (1995). Simulation of truncated normal variables. Statistics and Computing, 5(2):121–125.
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