Moments of Truncated Multivariate Normal Distribution

Computes the product moments of the truncated multivariate normal distribution, particularly for cases involving patterned variance-covariance matrices. It also has the capability to calculate these moments with arbitrary positive-definite matrices, although performance may degrade for high-dimensional variables.


Reference manual

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install.packages("trunmnt")

1.0.0 by Seung-Chun Lee, 10 months ago


Browse source code at https://github.com/cran/trunmnt


Authors: Seung-Chun Lee [aut, cre]


Documentation:   PDF Manual  


GPL-2 license


Imports fastGHQuad, Rcpp, RcppArmadillo

Suggests MomTrunc, truncnorm, tmvtnorm, testthat, R.rsp

Linking to Rcpp, RcppArmadillo, fastGHQuad


See at CRAN