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tmvnsim
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Download and install tmvnsim package within the R console
Install from CRAN:
install.packages("tmvnsim")
Install from Github:
library("remotes")
install_github("cran/tmvnsim")
Install by package version:
library("remotes")
install_version("tmvnsim", "1.0-2")
Attach the package and use:
library("tmvnsim")
Maintained by
Samsiddhi Bhattacharjee
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-08-19
Latest Update: 2016-12-15
Description:
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.
How to cite:
Samsiddhi Bhattacharjee (2015). tmvnsim: Truncated Multivariate Normal Simulation. R package version 1.0-2, https://cran.r-project.org/web/packages/tmvnsim
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Some associated functions: tmvnsim .
Some associated R codes: truncsimf.R . Full tmvnsim package functions and examples
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