The Multivariate Normal and t Distributions, and Their Truncated Versions
Inverse of a symmetric positive-definite matrix
Plotting a function of two variables
Moments of arbitrary order of a (possibly) truncated multivariate norm...
The Mardia measures of multivariate skewness and kurtosis for a given ...
The multivariate normal distribution
The 'mnormt' package: summary information
Moments and other quantities of a (possibly) truncated multivariate no...
Conversion of an array of moments to cumulants
The multivariate Student's t distribution
The multivariate truncated normal distribution
The multivariate truncated Student's t distribution
Functions are provided for computing the density and the distribution function of d-dimensional normal and "t" random variables, possibly truncated (on one side or two sides), and for generating random vectors sampled from these distributions, except sampling from the truncated "t". Moments of arbitrary order of a multivariate truncated normal are computed, and converted to cumulants up to order 4. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d=3, d>3, if d denotes the dimensionality.