rtmvnorm
(Package: tmvtnorm) :
Sampling Random Numbers From The Truncated Multivariate Normal Distribution
This function generates random numbers from the truncated multivariate normal distribution with mean equal to mean and covariance matrix sigma (or alternatively precision matrix H), lower and upper truncation points lower and upper with either rejection sampling or Gibbs sampling.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: rtmvnorm, rtmvnorm.sparseMatrix
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Generalized Method of Moments (GMM) Estimation for the Truncated Multivariate Normal Distribution
● Data Source:
CranContrib
● Keywords:
● Alias: gmm.tmvnorm
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tmvnorm
(Package: tmvtnorm) :
Truncated Multivariate Normal Density
This function provides the joint density function for the truncated multivariate normal distribution with mean equal to mean and covariance matrix sigma, lower and upper truncation points lower and upper. For convenience, it furthermore serves as a wrapper function for the one-dimensional and bivariate marginal densities dtmvnorm.marginal() and dtmvnorm.marginal2() respectively when invoked with the margin argument.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: dtmvnorm
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ptmvnorm
(Package: tmvtnorm) :
Truncated Multivariate Normal Distribution
Computes the distribution function of the truncated multivariate normal distribution for arbitrary limits and correlation matrices based on the pmvnorm() implementation of the algorithms by Genz and Bretz.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: ptmvnorm
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dtmvt
(Package: tmvtnorm) :
Truncated Multivariate Student t Density
This function provides the joint density function for the truncated multivariate Student t distribution with mean vector equal to mean, covariance matrix sigma, degrees of freedom parameter df and lower and upper truncation points lower and upper.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: dtmvt
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ptmvt
(Package: tmvtnorm) :
Truncated Multivariate Student t Distribution
Computes the distribution function of the truncated multivariate t distribution
● Data Source:
CranContrib
● Keywords: math, multivariate
● Alias: ptmvt
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Maximum Likelihood Estimation for the Truncated Multivariate Normal Distribution
● Data Source:
CranContrib
● Keywords:
● Alias: mle.tmvnorm
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This function computes the bivariate marginal density function f(x_q, x_r) from a k-dimensional Truncated Multivariate Normal density function (k>=2). The bivariate marginal density is obtained by integrating out (k-2) dimensions as proposed by Tallis (1961). This function is basically an extraction of the Leppard and Tallis (1989) Fortran code for moments calculation, but extended to the double truncated case.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: dtmvnorm.marginal2
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qtmvnorm-marginal
(Package: tmvtnorm) :
Quantiles of the Truncated Multivariate Normal Distribution in one dimension
Computes the equicoordinate quantile function of the truncated multivariate normal distribution for arbitrary correlation matrices based on an inversion of the algorithms by Genz and Bretz.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: qtmvnorm.marginal
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mtmvnorm
(Package: tmvtnorm) :
Computation of Mean Vector and Covariance Matrix For Truncated Multivariate Normal Distribution
Computation of the first two moments, i.e. mean vector and covariance matrix for the Truncated Multivariate Normal Distribution based on the works of Tallis (1961), Lee (1979) and Leppard and Tallis (1989), but extended to the double-truncated case with general mean and general covariance matrix.
● Data Source:
CranContrib
● Keywords: distribution, multivariate
● Alias: moments, mtmvnorm
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