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2011 Feb 07
0
under what conditions would rtmvnorm (from package tmvtnorm) produce all NaNs
Hello!
I am trying to generate a sample from a truncated multivariate normal
distribution using rtmvnorm.
I am using Gibbs because my alpha (line below) is teeny-tiny ( 4.083475e-64 )
alpha = pmvnorm(lower=lower, upper=upper, mean=btilde, sigma=MyVarCovar).
When I try my Gibbs run, it takes quite a long time (with 10,000
iterations and 5,000 iterations burn-in) ~ 22 sec. And then what I get
is all NaNs.
To add:
-I have 67 (!) variables and for a few of them some of my lower and
upper bounds are quite close to each other.
-In my v...