tregress | R Documentation |
Simulates n
random vectors X
exactly distributed
from the d
-dimensional Student distribution with
df=
\nu
degrees of freedom, mean zero and scale matrix
sigma
, conditional on l<X<u
,
tregress(n, lb, ub, sigma, df)
n |
number of observations |
lb |
vector of lower truncation limits |
ub |
vector of upper truncation limits |
sigma |
scale matrix |
df |
degrees of freedom |
list with components
R
: n
vector of scale
Z
: a d
by n
matrix
so that \sqrt(\nu)Z/R
follows
a truncated Student distribution
Matlab
code by Zdravko Botev, R
port by Leo Belzile
Z. I. Botev and P. L'Ecuyer (2015), Efficient probability estimation and simulation of the truncated multivariate Student-t distribution, Proceedings of the 2015 Winter Simulation Conference, pp. 380-391,
d <- 5
tregress(lb =rep(-2, d), ub = rep(2, d), df = 3, n = 10,
sigma = diag(0.5, d) + matrix(1, d, d))
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