rtmvt

This function returns a matrix of draws from a multivariate Student distribution truncated on the interval [<code>lb</code>, <code>ub</code>].

internal

A collection of functions to deal with the truncated univariate and multivariate normal and Student distributions, described in Botev (2017) <doi:10.1111/rssb.12162> and Botev and L'Ecuyer (2015) <doi:10.1109/WSC.2015.7408180>.

Leo Belzile

TruncatedNormal

Truncated Multivariate Normal and Student Distributions

Zdravko Botev

rtmvt function

<dl><dt>n</dt>
<dd>number of observations</dd>
<dt>mu</dt>
<dd>vector of location parameters</dd>
<dt>sigma</dt>
<dd>scale matrix</dd>
<dt>df</dt>
<dd>degrees of freedom</dd>
<dt>lb</dt>
<dd>vector of lower truncation limits</dd>
<dt>ub</dt>
<dd>vector of upper truncation limits</dd>
<dt>check</dt>
<dd>logical; if <code>TRUE</code> (default), the code checks that <code>sigma</code> is positive definite and symmetric</dd>
<dt>...</dt>
<dd>additional arguments for the method, currently ignored</dd></dl>

Arguments

Random number generator for the truncated multivariate Student distribution. — rtmvt

<dl>

<dt>n</dt>
<dd>number of observations</dd>


<dt>mu</dt>
<dd>vector of location parameters</dd>


<dt>sigma</dt>
<dd>scale matrix</dd>


<dt>df</dt>
<dd>degrees of freedom</dd>


<dt>lb</dt>
<dd>vector of lower truncation limits</dd>


<dt>ub</dt>
<dd>vector of upper truncation limits</dd>


<dt>check</dt>
<dd>logical; if <code>TRUE</code> (default), the code checks that <code>sigma</code> is positive definite and symmetric</dd>


<dt>...</dt>
<dd>additional arguments for the method, currently ignored</dd>

</dl>

rtmvt: Random number generator for the truncated multivariate Student distribution.

Description

Usage

Arguments

See Also