mnormt v2.0.2


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The Multivariate Normal and t Distributions, and Their Truncated Versions

Functions are provided for computing the density and the distribution function of d-dimensional normal and "t" random variables, possibly truncated (on one side or two sides), and for generating random vectors sampled from these distributions, except sampling from the truncated "t". Moments of arbitrary order of a multivariate truncated normal are computed, and converted to cumulants up to order 4. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d=3, d>3, if d denotes the dimensionality.

Functions in mnormt

Name Description
mtrunct The multivariate truncated Student's t distribution
mnorm The multivariate normal distribution
recintab Moments of arbitrary order of a (possibly) truncated multivariate normal variable
sample_Mardia_measures The Mardia measures of multivariate skewness and kurtosis for a given sample
mt The multivariate Student's t distribution
pd.solve Inverse of a symmetric positive-definite matrix
mnormt-package The 'mnormt' package: summary information
mtruncnorm The multivariate truncated normal distribution
mom2cum Conversion of an array of moments to cumulants
mom.mtruncnorm Moments and other quantities of a (possibly) truncated multivariate normal distribution
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Last month downloads


Date 2020-08-31
License GPL-2 | GPL-3
NeedsCompilation yes
Encoding UTF-8
Packaged 2020-09-01 10:22:47 UTC; aa
Repository CRAN
Date/Publication 2020-09-01 12:50:07 UTC

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