Truncated multivariate normal distribution random number generator. More...
#include <scythestat/rng/rtmvnorm.h>
Collaboration diagram for scythe::rtmvnorm< RNGTYPE >:
Public Member Functions | |
| template<matrix_order PO1, matrix_style PS1, matrix_order PO2, matrix_style PS2, matrix_order PO3, matrix_style PS3, matrix_order PO4, matrix_style PS5, matrix_order PO5, matrix_style PS4> | |
| rtmvnorm (const Matrix< double, PO1, PS1 > &mu, const Matrix< double, PO2, PS2 > &sigma, const Matrix< double, PO3, PS3 > &D, const Matrix< double, PO4, PS4 > &a, const Matrix< double, PO5, PS5 > &b, rng< RNGTYPE > &generator, unsigned int burnin=0, unsigned int thin=1, bool preinvertedD=false) | |
| Standard constructor. | |
| template<matrix_order O, matrix_style S> | |
| Matrix< double, O, S > | operator() () |
| Generate random variates. | |
| Matrix< double, Col, Concrete > | operator() () |
| Generate random variates. | |
Protected Member Functions | |
| void | sample () |
Protected Attributes | |
| Matrix | mu_ |
| Matrix | Dinv_ |
| Matrix | C_ |
| Matrix | alpha_ |
| Matrix | beta_ |
| Matrix | h_ |
| Matrix | z_ |
| rng< RNGTYPE > & | generator_ |
| unsigned int | n_ |
| unsigned int | thin_ |
| unsigned int | iter_ |
Detailed Description
template<class RNGTYPE>
class scythe::rtmvnorm< RNGTYPE >
Truncated multivariate normal distribution random number generator.
This class is a functor that allows one to initialize, and optionally burn in, a Gibbs sampler (Geweke 1991) for a given truncated multivariate normal distribution on construction and then make optionally thinned draws from the distribution with calls to the () operator.
The documentation for this class was generated from the following file:
- scythestat/rng/rtmvnorm.h
