CVS commit: pkgsrc/math/R-tmvnsim

["Makoto Fujiwara" <mef%netbsd.org@localhost>]

Module Name:    pkgsrc
Committed By:   mef
Date:           Sat Sep 18 01:38:00 UTC 2021

Added Files:
        pkgsrc/math/R-tmvnsim: DESCR Makefile distinfo

Log Message:
(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.


To generate a diff of this commit:
cvs rdiff -u -r0 -r1.1 pkgsrc/math/R-tmvnsim/DESCR \
    pkgsrc/math/R-tmvnsim/Makefile pkgsrc/math/R-tmvnsim/distinfo

Please note that diffs are not public domain; they are subject to the
copyright notices on the relevant files.

Added files:

Index: pkgsrc/math/R-tmvnsim/DESCR
diff -u /dev/null pkgsrc/math/R-tmvnsim/DESCR:1.1
--- /dev/null   Sat Sep 18 01:38:00 2021
+++ pkgsrc/math/R-tmvnsim/DESCR Sat Sep 18 01:38:00 2021
@@ -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.
Index: pkgsrc/math/R-tmvnsim/Makefile
diff -u /dev/null pkgsrc/math/R-tmvnsim/Makefile:1.1
--- /dev/null   Sat Sep 18 01:38:00 2021
+++ pkgsrc/math/R-tmvnsim/Makefile      Sat Sep 18 01:38:00 2021
@@ -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"
Index: pkgsrc/math/R-tmvnsim/distinfo
diff -u /dev/null pkgsrc/math/R-tmvnsim/distinfo:1.1
--- /dev/null   Sat Sep 18 01:38:00 2021
+++ pkgsrc/math/R-tmvnsim/distinfo      Sat Sep 18 01:38:00 2021
@@ -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