The Multivariate Normal and t Distributions, and Their Truncated
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Description
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.