mnorm

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) .