mvrandt function

Random number generation from multivariate truncated Student distribution

mvrandt(l, u, Sig, df, n, mu = NULL)

Arguments

• l: lower bound for truncation (infinite values allowed)
• u: upper bound for truncation
• Sig: covariance matrix
• df: degrees of freedom
• n: sample size
• mu: location parameter

Returns

a d by n matrix

Examples

## Not run:

d <- 60L; n <- 1e3;
Sig <- 0.9 * matrix(1, d, d) + 0.1 * diag(d);
l <- (1:d)/d * 4; u <- l+2; df <- 10;
X <- mvrandt(l,u,Sig,df,n)
stopifnot(all(X>l))
stopifnot(all(X<u))
## End(Not run)

References

Z. I. Botev and P. L'Ecuyer (2015), Efficient probability estimation and simulation of the truncated multivariate Student-t distribution, Proceedings of the 2015 Winter Simulation Conference, pp. 380-391,

Author(s)

Matlab code by Zdravko Botev, R port by Leo Belzile