trunmnt: An R package for calculating moments in a truncated multivariate normal distribution

Abstract

The moment calculation in a truncated multivariate normal distribution is a long-standing problem in statistical computation. Recently, Kan and Robotti (2017) developed an algorithm able to calculate all orders of moment under di ff erent types of truncation. This result was implemented in an R package MomTrunc by Galarza et al. (2021); however, it is di ffi cult to use the package in practical statistical problems because the computational burden increases exponentially as the order of the moment or the dimension of the random vector increases. Meanwhile, Lee (2021) presented an e ffi cient numerical method in both accuracy and computational burden using Gauss-Hermit quadrature. This article introduces trunmnt implementation of Lee’s work as an R package. The Package is believed to be useful for moment calculations in most practical statistical problems.