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)