dtmvnom: Return the mean and covariance matrix of a truncated multivariate normal
Description
This function returns the mean and covariance matrix of a truncated
multivariate normal distribution. It takes as inputs a vector of lower
thresholds and another of upper thresholds along with the mean and
covariance matrix of the untruncated distribution. This function follows
the method proposed by Kan \& Robotti (2016).
Usage
dtmvnom(a, b, mu, S)
Arguments
a
a vector of lower thresholds.
b
a vector of upper thresholds.
mu
the mean of the untruncated distribution.
S
the covariance matrix of the untruncated distribution.
Value
Returns a list of two elements. The first element, tmean, is
the mean of the truncated multivariate normal distribution. The second
element, tvar, is the covariance matrix of the truncated
distribution.
References
Kan, R., & Robotti, C. (2016). On Moments of Folded and
Truncated Multivariate Normal Distributions. Available at SSRN.