Library to calculate Truncated Multivalual Normal Distribution
- C++11 or C++14
- Boost 1.48 or later
- Little Endian System
./configure --prefix=YOUR_INSTALL_DIR
make
make install
set environment variable DIGITAL_NET_PATH
export DIGITAL_NET_PATH=YOUR_INSTALL_DIR/share/truncatednormal
set LIBRARY_PATH and CPLUS_INCLUDE_PATH properly.
see docs/index.html GitHub Pages
Data file 'nxlw.dat' and 'solw.dat' are binary files which were made on Little Endian System and will not work correctly on Big Endian Systems.
- https://cran.r-project.org/package=TruncatedNormal
- Z. I. Botev (2015), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, JRSS(B) Vol 79, pp 125–148, DOI:10.1111/rssb.12162
- Z. I. Botev and P. L’Ecuyer (2015), Efficient Estimation and Simulation of the Truncated Multivariate Student-t Distribution, Proceedings of the 2015 Winter Simulation Conference, Huntington Beach, CA, USA
- Gibson G. J., Glasbey C. A., Elston D. A. (1994), Monte Carlo evaluation of multivariate normal integrals and sensitivity to variate ordering, In: Advances in Numerical Methods and Applications, pages 120–126
Copyright (C) 2015 Zdravko I. Botev.
Copyright (C) 2017 Shinsuke Mori, Makoto Matsutmoto, Mutsuo Saito
and Hiroshima University.
This program is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, either version 3 of the License, or
(at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program. If not, see <http://www.gnu.org/licenses/>.