tlrmvnmvt
Low-Rank Methods for MVN and MVT Probabilities
Implementation of the classic Genz algorithm and a novel tile-low-rank algorithm for computing relatively high-dimensional multivariate normal (MVN) and Student-t (MVT) probabilities.
References used for this package:
Foley, James, Andries van Dam, Steven Feiner, and John Hughes.
"Computer Graphics: Principle and Practice". Addison-Wesley
Publishing Company. Reading, Massachusetts (1987, ISBN:0-201-84840-6 1);
Genz, A., "Numerical computation of multivariate
normal probabilities," Journal of Computational and
Graphical Statistics, 1, 141-149 (1992)
- Version1.1.2
- R versionunknown
- LicenseGPL-2
- Needs compilation?Yes
- tlrmvnmvt citation info
- Last release06/09/2022
Documentation
Team
Jian Cao
MaintainerShow author detailsMarc Genton
Show author detailsRolesAuthorDavid Keyes
Show author detailsRolesAuthorGeorge Turkiyyah
Show author detailsRolesAuthor
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Last 30 days
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Last 365 days
This package has been downloaded 4,116 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 Feb 12, 2025 with 70 downloads.
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- Imports1 package
- Suggests1 package
- Linking To3 packages
- Reverse Imports3 packages