VeccTMVN
Multivariate Normal Probabilities using Vecchia Approximation
Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities" doi:10.48550/arXiv.2311.09426. Two major references for the development of our method are Alan Genz (1992) "Numerical Computation of Multivariate Normal Probabilities" doi:10.1080/10618600.1992.10477010 and Z. I. Botev (2017) "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting" doi:10.48550/arXiv.1603.04166.
- Version1.2.1
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release11/26/2024
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Team
Jian Cao
MaintainerShow author detailsMatthias Katzfuss
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Last 30 days
This package has been downloaded 142 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 4 times.
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Last 365 days
This package has been downloaded 2,423 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Sep 26, 2024 with 54 downloads.
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- Imports7 packages
- Suggests3 packages
- Linking To2 packages