File: [cvs.NetBSD.org] / pkgsrc / math / Rtmvnsim / DESCR (download)
Revision 1.1, Sat Sep 18 01:38:00 2021 UTC (8 months ago) by mef
Branch: MAIN
CVS Tags: pkgsrc2022Q1base, pkgsrc2022Q1, pkgsrc2021Q4base, pkgsrc2021Q4, pkgsrc2021Q3base, pkgsrc2021Q3, HEAD
(math/Rtmvnsim) import Rtmvnsim1.0.2
Importance sampling from the truncated multivariate normal using the
GHK (GewekeHajivassiliouKeane) simulator. Unlike Gibbs sampling
which can get stuck in one truncation subregion 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.
