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restrictedMVN (version 1.0)
Multivariate Normal Restricted by Affine Constraints
Description
A fast Gibbs sampler for multivariate normal with affine constraints.
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Version
Version
1.0
Install
install.packages('restrictedMVN')
Monthly Downloads
10
Version
1.0
License
GPL (>= 2)
Maintainer
Yuval Benjamini
Last Published
December 27th, 2016
Functions in restrictedMVN (1.0)
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whiten_constraint
Transform non-iid problem into iid problem
thresh2constraints
Translate between coordinate thresholds and affine constraints
factor_covariance
Compute the square-root and inverse square-root of a non-negative definite matrix.
sample_from_constraints
Sample from multivariate normal distribution under affine restrictions
restrictedMVN-package
Sampler from multivariate normal with affine constraints