mvgb

Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method

CRAN Package

Generates multivariate subgaussian stable probabilities using the QRSVN algorithm as detailed in Genz and Bretz (2002) but by sampling positive stable variates not chi/sqrt(nu).

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  • Depends1 package