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README
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TruncatedNormal
===============
Library to calculate Truncated Multivalual Normal Distribution
REQUIREMENT
===========
* C++11 or C++14
* Boost 1.48 or later
* Little Endian System
INSTALL
=======
./configure --prefix=YOUR_INSTALL_DIR
make
make install
PREPARE
=======
set environment variable DIGITAL_NET_PATH
export DIGITAL_NET_PATH=YOUR_INSTALL_DIR/share/truncatednormal
set LIBRARY_PATH and CPLUS_INCLUDE_PATH properly.
DOCUMENT
========
see [docs/index.html](./docs/index.html)
[GitHub Pages](https://mersennetwister-lab.github.io/TruncatedNormalCPP/)
CAUTION
=======
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.
REFERENCE
=========
* 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
LICENSE
=======
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/>.