Truncated multivariate normal simulation
This package implements importance sampling from the truncated multivariate normal using the Geweke-Hajivassiliou-Keane (GHK) 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.
- Website: https://www.r-project.org
- Licenses: GPL 2
- Package source: gnu/packages/statistics.scm
- Builds: See build status
- Issues: See known issues
r-tmvnsim 1.0-2 as follows:
guix install firstname.lastname@example.org
Or install the latest version:
guix install r-tmvnsim
You can also install packages in augmented, pure or containerized environments for development or simply to try them out without polluting your user profile. See the
guix shell documentation for more information.