mnormt
The Multivariate Normal and t Distributions, and Their Truncated Versions
v2.1.2
·
Jan 26, 2026
·
GPL-2 | GPL-3
Description
Functions are provided for computing the density and the distribution function of multi-dimensional normal and "t" random variables, possibly truncated (on one side or two sides), and for generating random vectors sampled from these distributions, except sampling from the truncated "t". Moments of arbitrary order of a multivariate truncated normal are computed, and converted to cumulants up to order 4. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d=3, d>3, if d denotes the dimensionality.
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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Version History
new
2.1.2
Mar 9, 2026