trmvrnorm_rej_cpp: Sample from truncated multivariate normal distribution with...

In dazzimonti/ConservativeEstimates: Conservative estimates for excursion sets

Description

Simulates realizations from a truncated multivariate normal with mean mu, covariance matrix sigma in the bounds lower upper.

Usage

trmvrnorm_rej_cpp(n, mu, sigma, lower, upper, verb)

Arguments

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.

Value

A matrix of size d x n containing the samples.

References

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.

dazzimonti/ConservativeEstimates documentation built on May 15, 2019, 1:19 a.m.