Crate truncnorm

truncnorm provides fast, high-dimensional multivariate Normal and TruncatedNormal distributions as well as low level binding to Gaussian error functions.

I’ve written all this code for my dissertation work. I’ve put some effort into correctness and speed, but both could surely be improved. Rely on this code at your own risk as no guarantees can be made about it. Feel free to contact me if you’re interested in using this for any purpose and it doesn’t work 100%.

Largely based on the Matlab Truncated Normal and Student’s t-distribution toolbox and Faddeeva C library

Cheers!
Eleanor Quint

Modules

distributions

High level distributions

gauss

erf/erfc family of error functions

tilting

truncnorm

Rust re-write of Truncated Normal and Student’s t-distribution toolbox