[R] [R-pkgs] Updates to tmvtnorm package

Stefan Wilhelm Stefan.Wilhelm at financial.com
Fri Oct 9 08:57:25 CEST 2009


Dear R users,

the tmvtnorm package, the package for the truncated multivariate normal distribution, has been updated on CRAN.

The major changes in version 0.8 are:
* Reimplemented the Gibbs' sampler for random number generation in Fortran for performance reasons. This compiled code is now even faster than conventional rejection sampling and allows for the generation of large amounts of random numbers even in high dimensions.
* Added a function ptmvnorm.marginal() for the one-dimensional marginal probabilities/CDF.

Best regards,
Stefan Wilhelm

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