tmvmixnorm
Sampling from Truncated Multivariate Normal and t Distributions
Description
Efficient sampling of truncated multivariate (scale) mixtures of normals under linear inequality constraints is nontrivial due to the analytically intractable normalizing constant. Meanwhile, traditional methods may subject to numerical issues, especially when the dimension is high and dependence is strong. Algorithms proposed by Li and Ghosh (2015) <doi: 10.1080/15598608.2014.996690> are adopted for overcoming difficulties in simulating truncated distributions. Efficient rejection sampling for simulating truncated univariate normal distribution is included in the package, which shows superiority in terms of acceptance rate and numerical stability compared to existing methods and R packages. An efficient function for sampling from truncated multivariate normal distribution subject to convex polytope restriction regions based on Gibbs sampler for conditional truncated univariate distribution is provided. By extending the sampling method, a function for sampling truncated multivariate Student's t distribution is also developed. Moreover, the proposed method and computation remain valid for high dimensional and strong dependence scenarios. Empirical results in Li and Ghosh (2015) <doi: 10.1080/15598608.2014.996690> illustrated the superior performance in terms of various criteria (e.g. mixing and integrated auto-correlation time).
Downloads
554
Last 30 days
6351st
1.3K
Last 90 days
3.6K
Last year
Trend: +3.2% (30d vs prior 30d)
19
Last 30 days
39
Last 90 days
124
Last year
Trend: +11.8% (30d vs prior 30d)
2
Last 7 days
4
Last 30 days
0
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 9, 2026
NOTE 12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 8, 2026
R code for possible problems
Found the following possibly unsafe calls: Fatal error: cannot create 'R_TempDir'
OK 12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 25, 2026
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
LazyData
'LazyData' is specified without a 'data' directory
LazyData
'LazyData' is specified without a 'data' directory
LazyData
'LazyData' is specified without a 'data' directory