Random number generation from multivariate truncated Student distribution
Random number generation from multivariate truncated Student distribution
mvrandt(l, u, Sig, df, n, mu = NULL)
l |
lower bound for truncation (infinite values allowed) |
u |
upper bound for truncation |
Sig |
covariance matrix |
df |
degrees of freedom |
n |
sample size |
mu |
location parameter |
a d by n matrix
Matlab code by Zdravko Botev, R port by Leo Belzile
Z. I. Botev and P. L'Ecuyer (2015), Efficient probability estimation and simulation of the truncated multivariate Student-t distribution, Proceedings of the 2015 Winter Simulation Conference, pp. 380-391,
## Not run: d <- 60L; n <- 1e3; Sig <- 0.9 * matrix(1, d, d) + 0.1 * diag(d); l <- (1:d)/d * 4; u <- l+2; df <- 10; X <- mvrandt(l,u,Sig,df,n) stopifnot(all(X>l)) stopifnot(all(X<u)) ## End(Not run)
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