clustMD (version 1.2.1)

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.