r-cran-tmvnsim - 1.0-2-1+b1 main

The package offers 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.