Truncated Multivariate Normal and Student t Distribution

Random number generation for the truncated multivariate normal and Student t distribution. Computes probabilities, quantiles and densities, including one-dimensional and bivariate marginal densities. Computes first and second moments (i.e. mean and covariance matrix) for the double-truncated multinormal case.

tmvtnorm

tmvtnorm: A package for the Truncated Multivariate Normal Distribution

This package contains a number of useful methods for the truncated multivariate normal distribution. It considers random number generation with rejection and Gibbs sampling, computation of marginal densities as well as computation of the mean and covariance of the truncated variables.

For a more detailed introduction, see this RJournal (2010) paper tmvtnorm: A Package for the Truncated Multivariate Normal Distribution.