The Multivariate Normal and t Distributions, and Their Truncated Versions

Functions are provided for computing the density and the distribution function of multi-dimensional normal and "t" random variables, possibly truncated (on one side or two sides), and for generating random vectors sampled from these distributions, except sampling from the truncated "t". Moments of arbitrary order of a multivariate truncated normal are computed, and converted to cumulants up to order 4. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d=3, d>3, if d denotes the dimensionality.


Reference manual

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install.packages("mnormt")

2.1.2 by Adelchi Azzalini, 8 months ago


http://azzalini.stat.unipd.it/SW/Pkg-mnormt/


Browse source code at https://github.com/cran/mnormt


Authors: Adelchi Azzalini [aut, cre] , Alan Genz [aut] (most Fortran code) , Alan Miller [ctb] (Fortran routine PHI) , Michael J. Wichura [ctb] (Fortran routine PHINV) , G. W. Hill [ctb] (Fortran routine STDINV) , Yihong Ge. [ctb] (Fortran routines BNVU and MVBVU)


Documentation:   PDF Manual  


GPL-2 | GPL-3 license



Imported by AMISforInfectiousDiseases, BayesCR, BayesDissolution, BifactorIndicesCalculator, CensRegSMSN, ContaminatedMixt, DiceOptim, EMbC, ERP, EasyABC, FADA, FMCensSkewReg, GJRM, GPGame, HMMHSMM, ICAOD, LatentBMA, MBESS, MBSGS, MSclust, MixedPsy, MixtureMissing, Rgbp, SIBER, SMNlmec, UPG, WACS, apollo, bayou, blavaan, bmstdr, censoredAIDS, correctedAUC, derivmkts, discnorm, dispRity, dsample, eFCM, ei, latentcor, lavaan, ldbod, lmmpar, mable, mixAK, mixedCCA, mvord, mvst, nvmix, paleoTS, phytools, psych, savvySh, sclValid, sfa, sn, ssmn, wCorr, wsprv.

Depended on by EXRQ, OptHoldoutSize, PAGWAS, StratSel, bayess, blatent, qtlhot, quantreg.nonpar.

Suggested by EFAtools, MIIVefa, ZeBook, admixr2, barrks, brms, copent, fAssets, hmde, mand, matrixCorr, misty, semTools, vita.


See at CRAN