truncnorm provides (potentially) high-dimensional multivariate Normal
and TruncatedNormal distributions as well as low level binding to Gaussian
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
High level distributions
erfc family of error functions
Rust re-write of Truncated Normal and Student’s t-distribution toolbox