tmvtnorm: A Package for the Truncated Multivariate Normal Distribution

Authors

Stefan Wilhelm, University of Basel
B. G. Manjunath, University of Siegen

Date of this Version

6-2010

Document Type

Article

Citation

The R Journal (June 2010) 2(1)

Comments

Copyright 2010, The R Foundation. Open access material. License: CC BY 3.0 Unported

Abstract

In this article we present tmvtnorm, an R package implementation for the truncated multivariate normal distribution. We consider random number generation with rejection and Gibbs sampling, computation of marginal densities as well as computation of the mean and co variance of the truncated variables. This contribution brings together latest research in this field and provides useful methods for both scholars and practitioners when working with truncated normal variables.