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tmvtnorm

tmvtnorm: A package for the Truncated Multivariate Normal Distribution

This package contains a number of useful methods for the truncated multivariate normal distribution. It considers random number generation with rejection and Gibbs sampling, computation of marginal densities as well as computation of the mean and covariance of the truncated variables.

For a more detailed introduction, see this RJournal (2010) paper tmvtnorm: A Package for the Truncated Multivariate Normal Distribution.

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Install

install.packages('tmvtnorm')

Monthly Downloads

5,854

Version

1.5

License

GPL (>= 2)

Maintainer

Stefan Wilhelm

Last Published

March 22nd, 2022

Functions in tmvtnorm (1.5)

dtmvnorm.marginal

One-dimensional marginal density functions from a Truncated Multivariate Normal distribution

Maximum Likelihood Estimation for the Truncated Multivariate Normal Distribution

GMM Estimation for the Truncated Multivariate Normal Distribution

Truncated Multivariate Student t Distribution

ptmvtnorm.marginal

One-dimensional marginal CDF function for a Truncated Multivariate Normal and Student t distribution

qtmvnorm-marginal

Quantiles of the Truncated Multivariate Normal Distribution in one dimension

dtmvnorm.marginal2

Bivariate marginal density functions from a Truncated Multivariate Normal distribution

Truncated Multivariate Student t Density

Computation of Mean Vector and Covariance Matrix For Truncated Multivariate Normal Distribution

Truncated Multivariate Normal Distribution

Sampling Random Numbers From The Truncated Multivariate Normal Distribution

Truncated Multivariate Normal Density

Sampling Random Numbers From The Truncated Multivariate Student t Distribution

Sampling Random Numbers From The Truncated Multivariate Normal Distribution With Linear Constraints