mnormt

Last update 27 January 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 2.1.1, PACKAGES.rds, 1.0-1, 1.0, 1.1-0, 1.2-0, 1.2-1, 1.3-1, 1.3-2, 1.3-3, 1.3-4, 1.4-0, 1.4-1, 1.4-2, 1.4-3, 1.4-5, 1.4-7, 1.5-0, 1.5-1, 1.5-2, 1.5-3, 1.5-4, 1.5-5, 1.5-6, 1.5-7, 2.0.0, 2.0.1, 2.0.2, 2.1.0, 2.1.2

Official website http://cran.r-project.org/web/packages/mnormt/

Source code repository https://github.com/cran/mnormt

Description

Functions are provided for computing the density and the distribution function of multi-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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