math/R-tmvnsim - The NetBSD Packages Collection

Truncated Multivariate Normal Simulation

Importance sampling from the truncated multivariate normal using the
GHK (Geweke-Hajivassiliou-Keane) simulator. Unlike Gibbs sampling
which can get stuck in one truncation sub-region depending on initial
values, this package allows truncation based on disjoint regions that
are created by truncation of absolute values. The GHK algorithm uses
simple Cholesky transformation followed by recursive simulation of
univariate truncated normals hence there are also no convergence
issues. Importance sample is returned along with sampling weights,
based on which, one can calculate integrals over truncated regions for
multivariate normals.

Build dependencies


Runtime dependencies

math/R lang/gcc7 math/R lang/gcc7

Binary packages

NetBSD 8.0powerpcR-tmvnsim-1.0.2.tgz
NetBSD 9.0aarch64R-tmvnsim-1.0.2.tgz
NetBSD 9.0alphaR-tmvnsim-1.0.2.tgz
NetBSD 9.0i386R-tmvnsim-1.0.2.tgz
NetBSD 9.0powerpcR-tmvnsim-1.0.2.tgz
NetBSD 9.0sparc64R-tmvnsim-1.0.2.tgz
NetBSD 9.0x86_64R-tmvnsim-1.0.2.tgz
NetBSD 9.0x86_64R-tmvnsim-1.0.2.tgz

Binary packages can be installed with the high-level tool pkgin (which can be installed with pkg_add) or pkg_add(1) (installed by default). The NetBSD packages collection is also designed to permit easy installation from source.

Available build options


Known vulnerabilities

The pkg_admin audit command locates any installed package which has been mentioned in security advisories as having vulnerabilities.

Please note the vulnerabilities database might not be fully accurate, and not every bug is exploitable with every configuration.

Problem reports, updates or suggestions for this package should be reported with send-pr.