rekado pushed a commit to branch master
in repository guix.
commit 5c6e70346efc6a581a4acbec16d0b228d1bddb82
Author: Ricardo Wurmus <[email protected]>
AuthorDate: Thu Jun 11 14:33:01 2020 +0200
gnu: Add r-tmvnsim.
* gnu/packages/statistics.scm (r-tmvnsim): New variable.
---
gnu/packages/statistics.scm | 29 +++++++++++++++++++++++++++++
1 file changed, 29 insertions(+)
diff --git a/gnu/packages/statistics.scm b/gnu/packages/statistics.scm
index 30a0d44..2a878a4 100644
--- a/gnu/packages/statistics.scm
+++ b/gnu/packages/statistics.scm
@@ -5289,6 +5289,35 @@ computations taking place in C++ code, and support for
interrupting those comput
even in multithreaded code, typically using OpenMP.")
(license license:gpl3+)))
+(define-public r-tmvnsim
+ (package
+ (name "r-tmvnsim")
+ (version "1.0-2")
+ (source
+ (origin
+ (method url-fetch)
+ (uri (cran-uri "tmvnsim" version))
+ (sha256
+ (base32
+ "03xsvsg9bqvgl98ywid3h91mmlhax5s6wvmypp3hq91vmc5kvxlp"))))
+ (properties `((upstream-name . "tmvnsim")))
+ (build-system r-build-system)
+ (native-inputs `(("gfortran" ,gfortran)))
+ (home-page "https://www.r-project.org";)
+ (synopsis "Truncated multivariate normal simulation")
+ (description
+ "This package implements importance sampling from the truncated
+multivariate normal using the @dfn{Geweke-Hajivassiliou-Keane} (GHK)
+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.")
+ (license license:gpl2)))
+
(define-public r-mnormt
(package
(name "r-mnormt")
