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mnormt (version 2.1.0)

The Multivariate Normal and t Distributions, and Their Truncated Versions

Description

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.

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Version

Install

install.packages('mnormt')

Monthly Downloads

112,082

Version

2.1.0

License

GPL-2 | GPL-3

Maintainer

Adelchi Azzalini

Last Published

June 7th, 2022

Functions in mnormt (2.1.0)

mtruncnorm

The multivariate truncated normal distribution
mt

The multivariate Student's t distribution
sample_Mardia_measures

The Mardia measures of multivariate skewness and kurtosis for a given sample
plot_fxy

Plotting a function of two variables
mnorm

The multivariate normal distribution
mnormt-package

The 'mnormt' package: summary information
recintab

Moments of arbitrary order of a (possibly) truncated multivariate normal variable
mtrunct

The multivariate truncated Student's t distribution
pd.solve

Inverse of a symmetric positive-definite matrix
mom.mtruncnorm

Moments and other quantities of a (possibly) truncated multivariate normal distribution
mom2cum

Conversion of an array of moments to cumulants