Statistics, Department of
The R Journal
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Date of this Version
6-2010
Document Type
Article
Citation
The R Journal (June 2010) 2(1)
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.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2010, The R Foundation. Open access material. License: CC BY 3.0 Unported