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TruncatedNormal

Truncated Multivariate Normal and Student Distributions

A collection of functions to deal with the truncated univariate and multivariate normal and Student distributions, described in Botev (2017) <doi:10.1111/rssb.12162> and Botev and L'Ecuyer (2015) <doi:10.1109/WSC.2015.7408180>.

Functions (32)

Phinv

Quantile of truncated Gaussian

TruncatedNormal-package

Truncated Normal Distribution Toolbox

cholperm

Cholesky decomposition for Gaussian distribution function with permutation

dot-cholpermGB

Cholesky matrix decomposition with GGE ordering

dot-cholpermGGE

Cholesky matrix decomposition with GGE ordering

dot-dmvnorm_arma

Multivariate normal density function

dot-dmvt_arma

Multivariate Student density function

dtmvnorm

Density function for the truncated multivariate normal distribution

dtmvt

Density function for the truncated multivariate Student distribution

lnNpr

Calculate log of Gaussian distribution function accurately

lupus

Latent membranous Lupus Nephritis dataset

mroz

Women wage dataset from Mroz (1987)

mvNcdf

Truncated multivariate normal cumulative distribution

mvNqmc

Truncated multivariate normal cumulative distribution (quasi-Monte Carlo)

mvTcdf

Truncated multivariate student cumulative distribution

mvTqmc

Truncated multivariate student cumulative distribution (QMC version)

mvrandn

Truncated multivariate normal generator

mvrandt

Random number generation from multivariate truncated Student distribution

norminvp

Normal quantile function (high precision)

pmvnorm

Distribution function of the multivariate normal distribution for arbitrary limits

pmvt

Distribution function of the multivariate Student distribution for arbitrary limits

ptmvnorm

Cumulative distribution function of the truncated multivariate normal distribution.

ptmvt

Cumulative distribution function of the truncated multivariate Student distribution.

qtnorm

Quantile function using the inversion method

rtmvnorm

Random number generator for the truncated multivariate normal distribution.

rtmvt

Random number generator for the truncated multivariate Student distribution.

rtnorm

Vectorized random number generation from the univariate truncated normal distribution

tmvnorm

Multivariate truncated normal distribution

tmvt

Multivariate truncated Student distribution

tnorm

Truncated univariate normal distribution

trandn

Fast truncated normal generator

tregress

Truncated student generator for Bayesian regression simulation

TruncatedNormal

Truncated Multivariate Normal and Student Distributions

v2.2

GPL-3

Authors

Zdravko Botev [aut] (<https://orcid.org/0000-0001-9054-3452>), Leo Belzile [aut, cre] (<https://orcid.org/0000-0002-9135-014X>)

Initial release

2020-05-16

TruncatedNormal

Functions (32)

TruncatedNormal

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