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).
dtmvnom(a, b, mu, S)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.
a vector of lower thresholds.
a vector of upper thresholds.
the mean of the untruncated distribution.
the covariance matrix of the untruncated distribution.
Kan, R., & Robotti, C. (2016). On Moments of Folded and Truncated Multivariate Normal Distributions. Available at SSRN.