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>.


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install.packages("tlrmvnmvt")

1.0.0 by Jian Cao, 13 days 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


See at CRAN