mnorm
Multivariate Normal Distribution
Calculates and differentiates probabilities and density of (conditional) multivariate normal distribution and Gaussian copula (with various marginal distributions) using methods described in A. Genz (2004) doi:10.1023/B:STCO.0000035304.20635.31, A. Genz, F. Bretz (2009) doi:10.1007/978-3-642-01689-9, H. I. Gassmann (2003) doi:10.1198/1061860032283 and E. Kossova, B. Potanin (2018) https://ideas.repec.org/a/ris/apltrx/0346.html.
- Version1.2.2
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release11/29/2023
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Team
Bogdan Potanin
Sofiia Dolgikh
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