diff options
| -rw-r--r-- | var/spack/repos/builtin/packages/r-tmvnsim/package.py | 26 |
1 files changed, 26 insertions, 0 deletions
diff --git a/var/spack/repos/builtin/packages/r-tmvnsim/package.py b/var/spack/repos/builtin/packages/r-tmvnsim/package.py new file mode 100644 index 0000000000..eee9e4e6d4 --- /dev/null +++ b/var/spack/repos/builtin/packages/r-tmvnsim/package.py @@ -0,0 +1,26 @@ +# Copyright 2013-2021 Lawrence Livermore National Security, LLC and other +# Spack Project Developers. See the top-level COPYRIGHT file for details. +# +# SPDX-License-Identifier: (Apache-2.0 OR MIT) + +from spack import * + + +class RTmvnsim(RPackage): + """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.""" + + homepage = "https://cloud.r-project.org/package=tmvnsim" + url = "https://cloud.r-project.org/src/contrib/tmvnsim_1.0-2.tar.gz" + list_url = "https://cloud.r-project.org/src/contrib/Archive/tmvnsim" + + version('1.0-2', sha256='97f63d0bab3b240cc7bdbe6e6e74e90ad25a4382a345ee51a26fe3959edeba0f') |