Version 2.2.2
Bug fixes
- Remove ghost argument
log (never implemented) from functions pmvnorm and pmvt; these now return a warning (thanks to Elysée Aristide)
Version 2.2
Bug fixes
ptmvnorm and ptmvt now return 1 if all points exceed the upper bounds (incorrectly returned zero in v2.1.2 and NA in previous versions) (thanks to Adelchi Azzalini).- Probability estimates now capped at 0/1 in ptmvt/ptmvnorm.
- Check for solution to saddlepoint problem; the code now considers convex constrained optimization program for normal samples (QMC or MC).
Changes
- No more warning for univariate Student distribution function evaluation.
- Unit testing for wrappers.
Version 2.1.2
Bug fixes
ptmvtnorm and ptmvt return 0 for points outside the truncated region instead of NA (thanks to Adelchi Azzalini)- Fixed a bug in
rtmvt that returned incorrect output (tranposed mean vector)
Version 2.1
Bug fixes
- Cholesky decomposition with permutation now checks the arguments to ensure
lb less than ub, to avoid segfault errors. In case of degenerate bounds, the conditional distribution is used with fixed components for the degenerate variables (issue #2)
Changes
- Moved back probit example in documentation
- Change back to
randtoolbox package following its reuploading on CRAN
Version 2.0
Bug fixes
- Throw error if
NaN in bounds
- Handle univariate cases in
mvrandt and mvrandn
Changes
- Can specify mean vector directly in the functions
- Functions for multivariate Student simulation ported from Matlab
- Change to the interface
- Many functions now internal (documented)
- Cholesky matrix permutation (GGB and GE reordering now supported)
- Selected code rewritten in Rcpp
- New vignette
- Removed random seed
- Change to qrng package for QRN generation of the Sobol sequence (
randtoolbox package unmaintained), but the sequence is not scrambled
- Use
nleq solver to solve convex program (also check KKT conditions).
Version 1.0