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tmvnsim (1.0-2)

Published 2026-02-24 13:47:32 +00:00 by atheaadmin

Installation

Setup this registry in your Rprofile.site file:

options("repos" = c(getOption("repos"), c(gitea="")))

To install the package, run the following command:

install.packages("tmvnsim")

For more information on the CRAN registry, see the documentation.

About this package

Importance sampling from the truncated multivariate normal using the GHK (Geweke-Hajivassiliou-Keane) simulator. Unlike Gibbs sampling which can get stuck in one truncation sub-region depending on initial values, this package allows truncation based on disjoint regions that are created by truncation of absolute values. The GHK algorithm uses simple Cholesky transformation followed by recursive simulation of univariate truncated normals hence there are also no convergence issues. Importance sample is returned along with sampling weights, based on which, one can calculate integrals over truncated regions for multivariate normals.Truncated Multivariate Normal Simulation

Details

CRAN

2026-02-24 13:47:32 +00:00

0

GPL-2

Samsiddhi Bhattacjarjee <sb1@nibmg.ac.in>

Project Site

5.9 KiB

Assets (1)

tmvnsim_1.0-2.tar.gz 5.9 KiB

Versions (1) View all

1.0-2 2026-02-24