[pkgsrc/trunk]: pkgsrc/math/R-tmvnsim (math/R-tmvnsim) import R-tmvnsim-1.0.2

[mef <mef%pkgsrc.org@localhost>]

details:   https://anonhg.NetBSD.org/pkgsrc/rev/b4992c21ee18
branches:  trunk
changeset: 458529:b4992c21ee18
user:      mef <mef%pkgsrc.org@localhost>
date:      Sat Sep 18 01:38:00 2021 +0000

description:
(math/R-tmvnsim) import R-tmvnsim-1.0.2

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.

diffstat:

 math/R-tmvnsim/DESCR    |  10 ++++++++++
 math/R-tmvnsim/Makefile |  13 +++++++++++++
 math/R-tmvnsim/distinfo |   6 ++++++
 3 files changed, 29 insertions(+), 0 deletions(-)

diffs (41 lines):

diff -r 3415666c124b -r b4992c21ee18 math/R-tmvnsim/DESCR
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/math/R-tmvnsim/DESCR      Sat Sep 18 01:38:00 2021 +0000
@@ -0,0 +1,10 @@
+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.
diff -r 3415666c124b -r b4992c21ee18 math/R-tmvnsim/Makefile
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/math/R-tmvnsim/Makefile   Sat Sep 18 01:38:00 2021 +0000
@@ -0,0 +1,13 @@
+# $NetBSD: Makefile,v 1.1 2021/09/18 01:38:00 mef Exp $
+
+R_PKGNAME=     tmvnsim
+R_PKGVER=      1.0-2
+
+MAINTAINER=    pkgsrc-users%NetBSD.org@localhost
+COMMENT=       Truncated Multivariate Normal Simulation
+LICENSE=       gnu-gpl-v2
+
+USE_LANGUAGES= c fortran
+
+.include "../../math/R/Makefile.extension"
+.include "../../mk/bsd.pkg.mk"
diff -r 3415666c124b -r b4992c21ee18 math/R-tmvnsim/distinfo
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/math/R-tmvnsim/distinfo   Sat Sep 18 01:38:00 2021 +0000
@@ -0,0 +1,6 @@
+$NetBSD: distinfo,v 1.1 2021/09/18 01:38:00 mef Exp $
+
+SHA1 (R/tmvnsim_1.0-2.tar.gz) = d4c17fa698adba67227c1015177892308c407568
+RMD160 (R/tmvnsim_1.0-2.tar.gz) = bb4c62b206f02d64ffbc894e47052a42c7fc3889
+SHA512 (R/tmvnsim_1.0-2.tar.gz) = c70ac65ad1e3e632d4a3ed5d2a72ecb20c9b303263eb5ee0b2f6cc74762155c28e359579e202e8fda373a1effd280bf640dbe603e4520104fe84039cf333aced
+Size (R/tmvnsim_1.0-2.tar.gz) = 6052 bytes