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Revision 1.3 / (download) - annotate - [select for diffs], Tue Oct 26 10:55:34 2021 UTC (8 months, 1 week ago) by nia
CVS Tags: pkgsrc-2022Q2-base, pkgsrc-2022Q2, pkgsrc-2022Q1-base, pkgsrc-2022Q1, pkgsrc-2021Q4-base, pkgsrc-2021Q4, HEAD
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math: Replace RMD160 checksums with BLAKE2s checksums All checksums have been double-checked against existing RMD160 and SHA512 hashes
Revision 1.2 / (download) - annotate - [select for diffs], Thu Oct 7 14:28:04 2021 UTC (8 months, 3 weeks ago) by nia
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math: Remove SHA1 hashes for distfiles
Revision 1.1 / (download) - annotate - [select for diffs], Sat Sep 18 01:38:00 2021 UTC (9 months, 2 weeks ago) by mef
CVS Tags: pkgsrc-2021Q3-base, pkgsrc-2021Q3
(math/R-tmvnsim) import R-tmvnsim-1.0.2 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.
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