README.md

In suchitm/tmvn: Generate random samples from truncated univariate and multivariate normal distributions and truncated Student-t distributions.

tmvn

This repository houses the R package tmvn, which provides efficient methods for sampling from a truncated multivariate normal and Student t distribution subject to convex polytope restrictions. The method implemented in this package leverages a rejection sampling method for the truncated univariate normal distribution which has superior acceptance rates compared to popular existing methods.

Installation

1. Install and load the devtools package.
2. Install tmvn from GitHub using install_github("suchitm/tmvn")

References

Li, Y., & Ghosh, S. K. (2015). Efficient sampling methods for truncated multivariate normal and student-t distributions subject to linear inequality constraints. Journal of Statistical Theory and Practice, 9(4), 712-732.

suchitm/tmvn documentation built on Dec. 10, 2020, 10:25 a.m.