[R] [R-pkgs] tmvtnorm: version 1.0-2

Stefan Wilhelm Stefan.Wilhelm at financial.com
Tue Mar 16 15:12:02 CET 2010

Dear R users,

the tmvtnorm package, the package for the truncated multivariate normal and Student-t distribution, has been updated on CRAN.

The major changes in version 1.0-2 (2010-03-04) are:

* The package now provides methods for the truncated multivariate Student-t distribution, i.e. random number generation, density function, distribution functions like rtmvt(), dtmvt() und ptmvt() and ptmvt.marginal(). Random number generation supports both rejection sampling and Gibbs sampling.
* We implemented a thinning technique for the Gibbs sampler in both rtmvt.gibbs() and rtmvnorm.gibbs(), including additional arguments "thinning", "start.value" and "burn.in" for controlling the Gibbs sampler.
* We added a parameter "margin=NULL" to dtmvnorm() as an interface/wrapper to marginal density functions dtmvnorm.marginal() and dtmvnorm.marginal2().

Best regards,
Stefan Wilhelm

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