Package: tmvnsim 1.0-2
Samsiddhi Bhattacharjee
tmvnsim: Truncated Multivariate Normal Simulation
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.
Authors:
tmvnsim_1.0-2.tar.gz
tmvnsim_1.0-2.tar.gz(r-4.5-noble)tmvnsim_1.0-2.tar.gz(r-4.4-noble)
tmvnsim_1.0-2.tgz(r-4.4-emscripten)tmvnsim_1.0-2.tgz(r-4.3-emscripten)
tmvnsim.pdf |tmvnsim.html✨
tmvnsim/json (API)
| # Install 'tmvnsim' in R: |
| install.packages('tmvnsim', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 years agofrom:676c469dae. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-linux-x86_64 | OK | Oct 31 2024 |
Exports:tmvnsim
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Truncated Multivariate Normal Simulation | tmvnsim |