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tmvtnorm

Truncated Multivariate Normal and Student t Distribution

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.

Functions (14)

dmvnorm.marginal

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

dtmvnorm.marginal2

Bivariate marginal density functions from a Truncated Multivariate Normal distribution

Truncated Multivariate Student t Density

gmm.tmvnorm

GMM Estimation for the Truncated Multivariate Normal Distribution

mle.tmvnorm

Maximum Likelihood Estimation for the Truncated Multivariate Normal Distribution

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

Truncated Multivariate Normal Distribution

ptmvnorm.marginal

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

Truncated Multivariate Student t Distribution

qtmvnorm-marginal

Quantiles of the Truncated Multivariate Normal Distribution in one dimension

Sampling Random Numbers From The Truncated Multivariate Normal Distribution

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

Sampling Random Numbers From The Truncated Multivariate Student t Distribution

Truncated Multivariate Normal Density

tmvtnorm

Truncated Multivariate Normal and Student t Distribution

v1.4-10

GPL (>= 2)

Authors

Stefan Wilhelm <wilhelm@financial.com> with contributions from Manjunath B G <bgmanjunath@gmail.com>

Initial release

2015-08-26

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