tmvtnorm

swMATH8073CRANtmvtnormMaRDI QIDQ20087FDOQ20087

Truncated Multivariate Normal and Student t Distribution

Manjunath B G, Stefan Wilhelm

Last update: 5 December 2023

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

Software version identifier: 1.5, 0.4-2, 0.5-1, 0.7-2, 0.8-3, 0.9-2, 1.0-1, 1.0-2, 1.1-5, 1.2-3, 1.3-1, 1.4-1, 1.4-3, 1.4-4, 1.4-6, 1.4-7, 1.4-8, 1.4-9, 1.4-10, 1.6

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

Description

Random number generation for the truncated multivariate normal and Student t distribution. Computes probabilities, quantiles and densities, including one-dimensional and bivariate marginal densities. Computes first and second moments (i.e. mean and covariance matrix) for the double-truncated multinormal case.

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