Showing 200 of total 802 results (show query)

alexiosg

rugarch:Univariate GARCH Models

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Maintained by Alexios Galanos. Last updated 3 months ago.

cpp

49.8 match 26 stars 12.13 score 1.3k scripts 15 dependents

laplacesdemonr

LaplacesDemon:Complete Environment for Bayesian Inference

Provides a complete environment for Bayesian inference using a variety of different samplers (see ?LaplacesDemon for an overview).

Maintained by Henrik Singmann. Last updated 12 months ago.

14.7 match 93 stars 13.45 score 1.8k scripts 60 dependents

r-spatial

classInt:Choose Univariate Class Intervals

Selected commonly used methods for choosing univariate class intervals for mapping or other graphics purposes.

Maintained by Roger Bivand. Last updated 3 months ago.

fortran

7.4 match 34 stars 16.02 score 3.2k scripts 1.2k dependents

mikejareds

hermiter:Efficient Sequential and Batch Estimation of Univariate and Bivariate Probability Density Functions and Cumulative Distribution Functions along with Quantiles (Univariate) and Nonparametric Correlation (Bivariate)

Facilitates estimation of full univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric correlation (bivariate) using Hermite series based estimators. These estimators are particularly useful in the sequential setting (both stationary and non-stationary) and one-pass batch estimation setting for large data sets. Based on: Stephanou, Michael, Varughese, Melvin and Macdonald, Iain. "Sequential quantiles via Hermite series density estimation." Electronic Journal of Statistics 11.1 (2017): 570-607 <doi:10.1214/17-EJS1245>, Stephanou, Michael and Varughese, Melvin. "On the properties of Hermite series based distribution function estimators." Metrika (2020) <doi:10.1007/s00184-020-00785-z> and Stephanou, Michael and Varughese, Melvin. "Sequential estimation of Spearman rank correlation using Hermite series estimators." Journal of Multivariate Analysis (2021) <doi:10.1016/j.jmva.2021.104783>.

Maintained by Michael Stephanou. Last updated 7 months ago.

cumulative-distribution-functionkendall-correlation-coefficientonline-algorithmsprobability-density-functionquantilespearman-correlation-coefficientstatisticsstreaming-algorithmsstreaming-datacpp

19.2 match 15 stars 5.58 score 17 scripts

billvenables

polynom:A Collection of Functions to Implement a Class for Univariate Polynomial Manipulations

A collection of functions to implement a class for univariate polynomial manipulations.

Maintained by Bill Venables. Last updated 3 years ago.

8.0 match 1 stars 9.50 score 438 scripts 614 dependents

cran

bayesm:Bayesian Inference for Marketing/Micro-Econometrics

Covers many important models used in marketing and micro-econometrics applications. The package includes: Bayes Regression (univariate or multivariate dep var), Bayes Seemingly Unrelated Regression (SUR), Binary and Ordinal Probit, Multinomial Logit (MNL) and Multinomial Probit (MNP), Multivariate Probit, Negative Binomial (Poisson) Regression, Multivariate Mixtures of Normals (including clustering), Dirichlet Process Prior Density Estimation with normal base, Hierarchical Linear Models with normal prior and covariates, Hierarchical Linear Models with a mixture of normals prior and covariates, Hierarchical Multinomial Logits with a mixture of normals prior and covariates, Hierarchical Multinomial Logits with a Dirichlet Process prior and covariates, Hierarchical Negative Binomial Regression Models, Bayesian analysis of choice-based conjoint data, Bayesian treatment of linear instrumental variables models, Analysis of Multivariate Ordinal survey data with scale usage heterogeneity (as in Rossi et al, JASA (01)), Bayesian Analysis of Aggregate Random Coefficient Logit Models as in BLP (see Jiang, Manchanda, Rossi 2009) For further reference, consult our book, Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch (Wiley first edition 2005 and second forthcoming) and Bayesian Non- and Semi-Parametric Methods and Applications (Princeton U Press 2014).

Maintained by Peter Rossi. Last updated 1 years ago.

openblascpp

7.8 match 20 stars 8.20 score 322 scripts 43 dependents

insightsengineering

tern:Create Common TLGs Used in Clinical Trials

Table, Listings, and Graphs (TLG) library for common outputs used in clinical trials.

Maintained by Joe Zhu. Last updated 2 months ago.

clinical-trialsgraphslistingsnestoutputstables

4.9 match 79 stars 12.62 score 186 scripts 9 dependents

r-forge

surveillance:Temporal and Spatio-Temporal Modeling and Monitoring of Epidemic Phenomena

Statistical methods for the modeling and monitoring of time series of counts, proportions and categorical data, as well as for the modeling of continuous-time point processes of epidemic phenomena. The monitoring methods focus on aberration detection in count data time series from public health surveillance of communicable diseases, but applications could just as well originate from environmetrics, reliability engineering, econometrics, or social sciences. The package implements many typical outbreak detection procedures such as the (improved) Farrington algorithm, or the negative binomial GLR-CUSUM method of Hoehle and Paul (2008) <doi:10.1016/j.csda.2008.02.015>. A novel CUSUM approach combining logistic and multinomial logistic modeling is also included. The package contains several real-world data sets, the ability to simulate outbreak data, and to visualize the results of the monitoring in a temporal, spatial or spatio-temporal fashion. A recent overview of the available monitoring procedures is given by Salmon et al. (2016) <doi:10.18637/jss.v070.i10>. For the retrospective analysis of epidemic spread, the package provides three endemic-epidemic modeling frameworks with tools for visualization, likelihood inference, and simulation. hhh4() estimates models for (multivariate) count time series following Paul and Held (2011) <doi:10.1002/sim.4177> and Meyer and Held (2014) <doi:10.1214/14-AOAS743>. twinSIR() models the susceptible-infectious-recovered (SIR) event history of a fixed population, e.g, epidemics across farms or networks, as a multivariate point process as proposed by Hoehle (2009) <doi:10.1002/bimj.200900050>. twinstim() estimates self-exciting point process models for a spatio-temporal point pattern of infective events, e.g., time-stamped geo-referenced surveillance data, as proposed by Meyer et al. (2012) <doi:10.1111/j.1541-0420.2011.01684.x>. A recent overview of the implemented space-time modeling frameworks for epidemic phenomena is given by Meyer et al. (2017) <doi:10.18637/jss.v077.i11>.

Maintained by Sebastian Meyer. Last updated 2 days ago.

cpp

5.1 match 2 stars 10.68 score 446 scripts 3 dependents

r-forge

car:Companion to Applied Regression

Functions to Accompany J. Fox and S. Weisberg, An R Companion to Applied Regression, Third Edition, Sage, 2019.

Maintained by John Fox. Last updated 5 months ago.

3.5 match 15.29 score 43k scripts 901 dependents

neon-biodiversity

Ostats:O-Stats, or Pairwise Community-Level Niche Overlap Statistics

O-statistics, or overlap statistics, measure the degree of community-level trait overlap. They are estimated by fitting nonparametric kernel density functions to each species’ trait distribution and calculating their areas of overlap. For instance, the median pairwise overlap for a community is calculated by first determining the overlap of each species pair in trait space, and then taking the median overlap of each species pair in a community. This median overlap value is called the O-statistic (O for overlap). The Ostats() function calculates separate univariate overlap statistics for each trait, while the Ostats_multivariate() function calculates a single multivariate overlap statistic for all traits. O-statistics can be evaluated against null models to obtain standardized effect sizes. 'Ostats' is part of the collaborative Macrosystems Biodiversity Project "Local- to continental-scale drivers of biodiversity across the National Ecological Observatory Network (NEON)." For more information on this project, see the Macrosystems Biodiversity Website (<https://neon-biodiversity.github.io/>). Calculation of O-statistics is described in Read et al. (2018) <doi:10.1111/ecog.03641>, and a teaching module for introducing the underlying biological concepts at an undergraduate level is described in Grady et al. (2018) <http://tiee.esa.org/vol/v14/issues/figure_sets/grady/abstract.html>.

Maintained by Quentin D. Read. Last updated 4 months ago.

ecology

6.8 match 7 stars 6.69 score 28 scripts

cran

fGarch:Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Analyze and model heteroskedastic behavior in financial time series.

Maintained by Georgi N. Boshnakov. Last updated 12 months ago.

fortran

5.3 match 6 stars 8.20 score 1.1k scripts 51 dependents

r-forge

distr:Object Oriented Implementation of Distributions

S4-classes and methods for distributions.

Maintained by Peter Ruckdeschel. Last updated 2 months ago.

3.8 match 8.84 score 327 scripts 32 dependents

r-spatial

spdep:Spatial Dependence: Weighting Schemes, Statistics

A collection of functions to create spatial weights matrix objects from polygon 'contiguities', from point patterns by distance and tessellations, for summarizing these objects, and for permitting their use in spatial data analysis, including regional aggregation by minimum spanning tree; a collection of tests for spatial 'autocorrelation', including global 'Morans I' and 'Gearys C' proposed by 'Cliff' and 'Ord' (1973, ISBN: 0850860369) and (1981, ISBN: 0850860814), 'Hubert/Mantel' general cross product statistic, Empirical Bayes estimates and 'Assunção/Reis' (1999) <doi:10.1002/(SICI)1097-0258(19990830)18:16%3C2147::AID-SIM179%3E3.0.CO;2-I> Index, 'Getis/Ord' G ('Getis' and 'Ord' 1992) <doi:10.1111/j.1538-4632.1992.tb00261.x> and multicoloured join count statistics, 'APLE' ('Li 'et al.' ) <doi:10.1111/j.1538-4632.2007.00708.x>, local 'Moran's I', 'Gearys C' ('Anselin' 1995) <doi:10.1111/j.1538-4632.1995.tb00338.x> and 'Getis/Ord' G ('Ord' and 'Getis' 1995) <doi:10.1111/j.1538-4632.1995.tb00912.x>, 'saddlepoint' approximations ('Tiefelsdorf' 2002) <doi:10.1111/j.1538-4632.2002.tb01084.x> and exact tests for global and local 'Moran's I' ('Bivand et al.' 2009) <doi:10.1016/j.csda.2008.07.021> and 'LOSH' local indicators of spatial heteroscedasticity ('Ord' and 'Getis') <doi:10.1007/s00168-011-0492-y>. The implementation of most of these measures is described in 'Bivand' and 'Wong' (2018) <doi:10.1007/s11749-018-0599-x>, with further extensions in 'Bivand' (2022) <doi:10.1111/gean.12319>. 'Lagrange' multiplier tests for spatial dependence in linear models are provided ('Anselin et al'. 1996) <doi:10.1016/0166-0462(95)02111-6>, as are 'Rao' score tests for hypothesised spatial 'Durbin' models based on linear models ('Koley' and 'Bera' 2023) <doi:10.1080/17421772.2023.2256810>. A local indicators for categorical data (LICD) implementation based on 'Carrer et al.' (2021) <doi:10.1016/j.jas.2020.105306> and 'Bivand et al.' (2017) <doi:10.1016/j.spasta.2017.03.003> was added in 1.3-7. From 'spdep' and 'spatialreg' versions >= 1.2-1, the model fitting functions previously present in this package are defunct in 'spdep' and may be found in 'spatialreg'.

Maintained by Roger Bivand. Last updated 18 days ago.

spatial-autocorrelationspatial-dependencespatial-weights

1.8 match 131 stars 16.62 score 6.0k scripts 107 dependents

mjuraska

sievePH:Sieve Analysis Methods for Proportional Hazards Models

Implements a suite of semiparametric and nonparametric kernel-smoothed estimation and testing procedures for continuous mark-specific stratified hazard ratio (treatment/placebo) models in a randomized treatment efficacy trial with a time-to-event endpoint. Semiparametric methods, allowing multivariate marks, are described in Juraska M and Gilbert PB (2013), Mark-specific hazard ratio model with multivariate continuous marks: an application to vaccine efficacy. Biometrics 69(2):328-337 <doi:10.1111/biom.12016>, and in Juraska M and Gilbert PB (2016), Mark-specific hazard ratio model with missing multivariate marks. Lifetime Data Analysis 22(4):606-25 <doi:10.1007/s10985-015-9353-9>. Nonparametric kernel-smoothed methods, allowing univariate marks only, are described in Sun Y and Gilbert PB (2012), Estimation of stratified mark‐specific proportional hazards models with missing marks. Scandinavian Journal of Statistics}, 39(1):34-52 <doi:10.1111/j.1467-9469.2011.00746.x>, and in Gilbert PB and Sun Y (2015), Inferences on relative failure rates in stratified mark-specific proportional hazards models with missing marks, with application to human immunodeficiency virus vaccine efficacy trials. Journal of the Royal Statistical Society Series C: Applied Statistics, 64(1):49-73 <doi:10.1111/rssc.12067>. Both semiparametric and nonparametric approaches consider two scenarios: (1) the mark is fully observed in all subjects who experience the event of interest, and (2) the mark is subject to missingness-at-random in subjects who experience the event of interest. For models with missing marks, estimators are implemented based on (i) inverse probability weighting (IPW) of complete cases (for the semiparametric framework), and (ii) augmentation of the IPW estimating functions by leveraging correlations between the mark and auxiliary data to 'impute' the augmentation term for subjects with missing marks (for both the semiparametric and nonparametric framework). The augmented IPW estimators are doubly robust and recommended for use with incomplete mark data. The semiparametric methods make two key assumptions: (i) the time-to-event is assumed to be conditionally independent of the mark given treatment, and (ii) the weight function in the semiparametric density ratio/biased sampling model is assumed to be exponential. Diagnostic testing procedures for evaluating validity of both assumptions are implemented. Summary and plotting functions are provided for estimation and inferential results.

Maintained by Michal Juraska. Last updated 9 months ago.

openblascppopenmp

7.0 match 4.04 score 11 scripts

cran

ash:David Scott's ASH Routines

David Scott's ASH routines ported from S-PLUS to R.

Maintained by Albrecht Gebhardt. Last updated 10 years ago.

fortran

4.5 match 6.04 score 66 scripts 172 dependents

r-forge

distrEx:Extensions of Package 'distr'

Extends package 'distr' by functionals, distances, and conditional distributions.

Maintained by Matthias Kohl. Last updated 2 months ago.

3.9 match 6.68 score 107 scripts 17 dependents

allegropiano

GLDEX:Fitting Single and Mixture of Generalised Lambda Distributions

The fitting algorithms considered in this package have two major objectives. One is to provide a smoothing device to fit distributions to data using the weight and unweighted discretised approach based on the bin width of the histogram. The other is to provide a definitive fit to the data set using the maximum likelihood and quantile matching estimation. Other methods such as moment matching, starship method, L moment matching are also provided. Diagnostics on goodness of fit can be done via qqplots, KS-resample tests and comparing mean, variance, skewness and kurtosis of the data with the fitted distribution. References include the following: Karvanen and Nuutinen (2008) "Characterizing the generalized lambda distribution by L-moments" <doi:10.1016/j.csda.2007.06.021>, King and MacGillivray (1999) "A starship method for fitting the generalised lambda distributions" <doi:10.1111/1467-842X.00089>, Su (2005) "A Discretized Approach to Flexibly Fit Generalized Lambda Distributions to Data" <doi:10.22237/jmasm/1130803560>, Su (2007) "Nmerical Maximum Log Likelihood Estimation for Generalized Lambda Distributions" <doi:10.1016/j.csda.2006.06.008>, Su (2007) "Fitting Single and Mixture of Generalized Lambda Distributions to Data via Discretized and Maximum Likelihood Methods: GLDEX in R" <doi:10.18637/jss.v021.i09>, Su (2009) "Confidence Intervals for Quantiles Using Generalized Lambda Distributions" <doi:10.1016/j.csda.2009.02.014>, Su (2010) "Chapter 14: Fitting GLDs and Mixture of GLDs to Data using Quantile Matching Method" <doi:10.1201/b10159>, Su (2010) "Chapter 15: Fitting GLD to data using GLDEX 1.0.4 in R" <doi:10.1201/b10159>, Su (2015) "Flexible Parametric Quantile Regression Model" <doi:10.1007/s11222-014-9457-1>, Su (2021) "Flexible parametric accelerated failure time model"<doi:10.1080/10543406.2021.1934854>.

Maintained by Steve Su. Last updated 2 years ago.

8.5 match 3.05 score 93 scripts 2 dependents

jomulder

BFpack:Flexible Bayes Factor Testing of Scientific Expectations

Implementation of default Bayes factors for testing statistical hypotheses under various statistical models. The package is intended for applied quantitative researchers in the social and behavioral sciences, medical research, and related fields. The Bayes factor tests can be executed for statistical models such as univariate and multivariate normal linear models, correlation analysis, generalized linear models, special cases of linear mixed models, survival models, relational event models. Parameters that can be tested are location parameters (e.g., group means, regression coefficients), variances (e.g., group variances), and measures of association (e.g,. polychoric/polyserial/biserial/tetrachoric/product moments correlations), among others. The statistical underpinnings are described in O'Hagan (1995) <DOI:10.1111/j.2517-6161.1995.tb02017.x>, De Santis and Spezzaferri (2001) <DOI:10.1016/S0378-3758(00)00240-8>, Mulder and Xin (2022) <DOI:10.1080/00273171.2021.1904809>, Mulder and Gelissen (2019) <DOI:10.1080/02664763.2021.1992360>, Mulder (2016) <DOI:10.1016/j.jmp.2014.09.004>, Mulder and Fox (2019) <DOI:10.1214/18-BA1115>, Mulder and Fox (2013) <DOI:10.1007/s11222-011-9295-3>, Boeing-Messing, van Assen, Hofman, Hoijtink, and Mulder (2017) <DOI:10.1037/met0000116>, Hoijtink, Mulder, van Lissa, and Gu (2018) <DOI:10.1037/met0000201>, Gu, Mulder, and Hoijtink (2018) <DOI:10.1111/bmsp.12110>, Hoijtink, Gu, and Mulder (2018) <DOI:10.1111/bmsp.12145>, and Hoijtink, Gu, Mulder, and Rosseel (2018) <DOI:10.1037/met0000187>. When using the packages, please refer to the package Mulder et al. (2021) <DOI:10.18637/jss.v100.i18> and the relevant methodological papers.

Maintained by Joris Mulder. Last updated 1 months ago.

fortranopenblas

3.1 match 15 stars 8.24 score 55 scripts 3 dependents

cran

Compositional:Compositional Data Analysis

Regression, classification, contour plots, hypothesis testing and fitting of distributions for compositional data are some of the functions included. We further include functions for percentages (or proportions). The standard textbook for such data is John Aitchison's (1986) "The statistical analysis of compositional data". Relevant papers include: a) Tsagris M.T., Preston S. and Wood A.T.A. (2011). "A data-based power transformation for compositional data". Fourth International International Workshop on Compositional Data Analysis. <doi:10.48550/arXiv.1106.1451> b) Tsagris M. (2014). "The k-NN algorithm for compositional data: a revised approach with and without zero values present". Journal of Data Science, 12(3): 519--534. <doi:10.6339/JDS.201407_12(3).0008>. c) Tsagris M. (2015). "A novel, divergence based, regression for compositional data". Proceedings of the 28th Panhellenic Statistics Conference, 15-18 April 2015, Athens, Greece, 430--444. <doi:10.48550/arXiv.1511.07600>. d) Tsagris M. (2015). "Regression analysis with compositional data containing zero values". Chilean Journal of Statistics, 6(2): 47--57. <https://soche.cl/chjs/volumes/06/02/Tsagris(2015).pdf>. e) Tsagris M., Preston S. and Wood A.T.A. (2016). "Improved supervised classification for compositional data using the alpha-transformation". Journal of Classification, 33(2): 243--261. <doi:10.1007/s00357-016-9207-5>. f) Tsagris M., Preston S. and Wood A.T.A. (2017). "Nonparametric hypothesis testing for equality of means on the simplex". Journal of Statistical Computation and Simulation, 87(2): 406--422. <doi:10.1080/00949655.2016.1216554>. g) Tsagris M. and Stewart C. (2018). "A Dirichlet regression model for compositional data with zeros". Lobachevskii Journal of Mathematics, 39(3): 398--412. <doi:10.1134/S1995080218030198>. h) Alenazi A. (2019). "Regression for compositional data with compositional data as predictor variables with or without zero values". Journal of Data Science, 17(1): 219--238. <doi:10.6339/JDS.201901_17(1).0010>. i) Tsagris M. and Stewart C. (2020). "A folded model for compositional data analysis". Australian and New Zealand Journal of Statistics, 62(2): 249--277. <doi:10.1111/anzs.12289>. j) Alenazi A.A. (2022). "f-divergence regression models for compositional data". Pakistan Journal of Statistics and Operation Research, 18(4): 867--882. <doi:10.18187/pjsor.v18i4.3969>. k) Tsagris M. and Stewart C. (2022). "A Review of Flexible Transformations for Modeling Compositional Data". In Advances and Innovations in Statistics and Data Science, pp. 225--234. <doi:10.1007/978-3-031-08329-7_10>. l) Alenazi A. (2023). "A review of compositional data analysis and recent advances". Communications in Statistics--Theory and Methods, 52(16): 5535--5567. <doi:10.1080/03610926.2021.2014890>. m) Tsagris M., Alenazi A. and Stewart C. (2023). "Flexible non-parametric regression models for compositional response data with zeros". Statistics and Computing, 33(106). <doi:10.1007/s11222-023-10277-5>. n) Tsagris. M. (2025). "Constrained least squares simplicial-simplicial regression". Statistics and Computing, 35(27). <doi:10.1007/s11222-024-10560-z>. o) Sevinc V. and Tsagris. M. (2024). "Energy Based Equality of Distributions Testing for Compositional Data". <doi:10.48550/arXiv.2412.05199>.

Maintained by Michail Tsagris. Last updated 2 months ago.

6.9 match 3 stars 3.64 score 4 dependents

markvanderloo

extremevalues:Univariate Outlier Detection

Detect outliers in one-dimensional data.

Maintained by Mark van der Loo. Last updated 3 months ago.

6.3 match 3.54 score 29 scripts 2 dependents

tim-tu

weibulltools:Statistical Methods for Life Data Analysis

Provides statistical methods and visualizations that are often used in reliability engineering. Comprises a compact and easily accessible set of methods and visualization tools that make the examination and adjustment as well as the analysis and interpretation of field data (and bench tests) as simple as possible. Non-parametric estimators like Median Ranks, Kaplan-Meier (Abernethy, 2006, <ISBN:978-0-9653062-3-2>), Johnson (Johnson, 1964, <ISBN:978-0444403223>), and Nelson-Aalen for failure probability estimation within samples that contain failures as well as censored data are included. The package supports methods like Maximum Likelihood and Rank Regression, (Genschel and Meeker, 2010, <DOI:10.1080/08982112.2010.503447>) for the estimation of multiple parametric lifetime distributions, as well as the computation of confidence intervals of quantiles and probabilities using the delta method related to Fisher's confidence intervals (Meeker and Escobar, 1998, <ISBN:9780471673279>) and the beta-binomial confidence bounds. If desired, mixture model analysis can be done with segmented regression and the EM algorithm. Besides the well-known Weibull analysis, the package also contains Monte Carlo methods for the correction and completion of imprecisely recorded or unknown lifetime characteristics. (Verband der Automobilindustrie e.V. (VDA), 2016, <ISSN:0943-9412>). Plots are created statically ('ggplot2') or interactively ('plotly') and can be customized with functions of the respective visualization package. The graphical technique of probability plotting as well as the addition of regression lines and confidence bounds to existing plots are supported.

Maintained by Tim-Gunnar Hensel. Last updated 2 years ago.

field-data-analysisinteractive-visualizationsplotlyreliability-analysisweibull-analysisweibulltoolsopenblascpp

3.5 match 13 stars 6.15 score 54 scripts

rdpeng

simpleboot:Simple Bootstrap Routines

Simple bootstrap routines.

Maintained by Roger D. Peng. Last updated 9 months ago.

3.5 match 12 stars 5.99 score 135 scripts 4 dependents

cran

tmvmixnorm:Sampling from Truncated Multivariate Normal and t Distributions

Efficient sampling of truncated multivariate (scale) mixtures of normals under linear inequality constraints is nontrivial due to the analytically intractable normalizing constant. Meanwhile, traditional methods may subject to numerical issues, especially when the dimension is high and dependence is strong. Algorithms proposed by Li and Ghosh (2015) <doi: 10.1080/15598608.2014.996690> are adopted for overcoming difficulties in simulating truncated distributions. Efficient rejection sampling for simulating truncated univariate normal distribution is included in the package, which shows superiority in terms of acceptance rate and numerical stability compared to existing methods and R packages. An efficient function for sampling from truncated multivariate normal distribution subject to convex polytope restriction regions based on Gibbs sampler for conditional truncated univariate distribution is provided. By extending the sampling method, a function for sampling truncated multivariate Student's t distribution is also developed. Moreover, the proposed method and computation remain valid for high dimensional and strong dependence scenarios. Empirical results in Li and Ghosh (2015) <doi: 10.1080/15598608.2014.996690> illustrated the superior performance in terms of various criteria (e.g. mixing and integrated auto-correlation time).

Maintained by Ting Fung (Ralph) Ma. Last updated 4 years ago.

9.4 match 2.18 score 5 dependents