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, with componentwise choice), and for generating random vectors sampled from these distributions, except sampling from the truncated t. Moments of arbitrary order of a truncated normal are computed, and converted to cumulants up to order 4.
This package and its documentation are usable under the terms of the “GNU General Public License” version 3 or version 2, as you prefer; a copy of them is available from https://www.R-project.org/Licenses/.
Adelchi Azzalini (R code and package creation) and Alan Genz (Fortran code, see the references below; this code incorporates routines of other authors).
Probabilities are computed via non-Monte Carlo methods; different routines
are used in the case d=1, d=2, d=3, d>2, if d denotes the
dimensionality.
Genz, A. (1992). Numerical Computation of Multivariate Normal Probabilities. J. Computational and Graphical Statist. 1, 141-149.
Genz, A. (1993). Comparison of methods for the computation of multivariate normal probabilities. Computing Science and Statistics, 25, 400-405.
Genz, A.: Fortran code downloaded in 2006 from the author web page, located at https://www.math.wsu.edu/faculty/genz/software/software.html, as of 2020-06-01.