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) ; Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "Exploiting Low Rank Covariance Structures for Computing High-Dimensional Normal and Student- t Probabilities" (2019) < https://marcgenton.github.io/2019.CGKT.manuscript.pdf>.


Reference manual

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1.1.0 by Jian Cao, a year ago

Browse source code at https://github.com/cran/tlrmvnmvt

Authors: Jian Cao , Marc Genton , David Keyes , George Turkiyyah

Documentation:   PDF Manual  

GPL-2 license

Imports Rcpp

Suggests mvtnorm

Linking to Rcpp, RcppEigen, BH

Imported by CensMFM, CensSpatial, MomTrunc.

See at CRAN