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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.

copied from cf-staging / r-tmvnsim
Type Size Name Uploaded Downloads Labels
conda 32.6 kB | linux-64/r-tmvnsim-1.0_2-r40h859d828_3.tar.bz2  4 years and 3 months ago 5551 main
conda 32.7 kB | linux-aarch64/r-tmvnsim-1.0_2-r40h6fc6016_3.tar.bz2  4 years and 3 months ago 73 main
conda 39.5 kB | win-64/r-tmvnsim-1.0_2-r40h87ffe87_2.tar.bz2  4 years and 4 months ago 947 main
conda 39.5 kB | win-64/r-tmvnsim-1.0_2-r36h87ffe87_2.tar.bz2  4 years and 4 months ago 941 main
conda 31.1 kB | osx-64/r-tmvnsim-1.0_2-r40ha752707_2.tar.bz2  4 years and 4 months ago 264 main
conda 31.1 kB | osx-64/r-tmvnsim-1.0_2-r40h43cf36c_2.tar.bz2  4 years and 4 months ago 272 main
conda 31.2 kB | osx-64/r-tmvnsim-1.0_2-r36h43cf36c_2.tar.bz2  4 years and 4 months ago 271 main
conda 31.2 kB | osx-64/r-tmvnsim-1.0_2-r36ha752707_2.tar.bz2  4 years and 4 months ago 275 main
conda 32.5 kB | linux-64/r-tmvnsim-1.0_2-r40h31ca83e_2.tar.bz2  4 years and 4 months ago 2692 main
conda 32.6 kB | linux-64/r-tmvnsim-1.0_2-r36h580db52_2.tar.bz2  4 years and 4 months ago 2655 main
conda 32.6 kB | linux-64/r-tmvnsim-1.0_2-r36h31ca83e_2.tar.bz2  4 years and 4 months ago 2814 main
conda 32.5 kB | linux-64/r-tmvnsim-1.0_2-r40h580db52_2.tar.bz2  4 years and 4 months ago 2700 main
conda 39.4 kB | win-64/r-tmvnsim-1.0_2-r40h17ddedb_1.tar.bz2  4 years and 9 months ago 1009 main
conda 39.5 kB | win-64/r-tmvnsim-1.0_2-r36h17ddedb_1.tar.bz2  4 years and 9 months ago 1001 main
conda 31.0 kB | osx-64/r-tmvnsim-1.0_2-r40h384270c_1.tar.bz2  4 years and 9 months ago 314 main
conda 31.1 kB | osx-64/r-tmvnsim-1.0_2-r36h384270c_1.tar.bz2  4 years and 9 months ago 311 main
conda 32.3 kB | linux-64/r-tmvnsim-1.0_2-r40h9bbef5b_1.tar.bz2  4 years and 9 months ago 3024 main
conda 32.4 kB | linux-64/r-tmvnsim-1.0_2-r36h9bbef5b_1.tar.bz2  4 years and 9 months ago 3029 main
conda 39.5 kB | win-64/r-tmvnsim-1.0_2-r36h17ddedb_0.tar.bz2  4 years and 9 months ago 1006 main
conda 39.3 kB | win-64/r-tmvnsim-1.0_2-r35h17ddedb_0.tar.bz2  4 years and 9 months ago 1018 main
conda 31.0 kB | osx-64/r-tmvnsim-1.0_2-r35h384270c_0.tar.bz2  4 years and 9 months ago 313 main
conda 31.1 kB | osx-64/r-tmvnsim-1.0_2-r36h384270c_0.tar.bz2  4 years and 9 months ago 299 main
conda 32.3 kB | linux-64/r-tmvnsim-1.0_2-r36h9bbef5b_0.tar.bz2  4 years and 9 months ago 3057 main
conda 36.4 kB | linux-64/r-tmvnsim-1.0_2-r35h9bbef5b_0.tar.bz2  4 years and 9 months ago 3065 main

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