Paket: r-cran-tmvnsim (1.0-2-1)

[ Quellcode: r-cran-tmvnsim  ]

GNU R package for truncated multivariate normal simulation

The package offers importance sampling from the truncated multivariate normal using the GHK (Geweke-Hajivassiliou-Keane) 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.

Andere Pakete mit Bezug zu r-cran-tmvnsim

• dep: libc6 (>= 2.29)

  GNU-C-Bibliothek: Laufzeitbibliotheken
  auch ein virtuelles Paket, bereitgestellt durch libc6-udeb

• dep: r-api-4.0

  virtuelles Paket, bereitgestellt durch r-base-core

• dep: r-base-core (>= 4.0.1-1)

  GNU R - System für statistische Berechnungen und Grafik - Kern

• dep: r-cran-rlang

  Functions for Base Types and Core R and 'Tidyverse' Features

r-cran-tmvnsim herunterladen

Download für alle verfügbaren Architekturen

Architektur	Paketgröße	Größe (installiert)	Dateien
i386	19,3 kB	68,0 kB	[Liste der Dateien]