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) <doi:10.1080/10618600.1992.10477010>;
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," Statistics and Computing, 31.1, 1-16 (2021)
<doi:10.1007/s11222-020-09978-y>;
Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "tlrmvnmvt:
Computing High-Dimensional Multivariate Normal and Student-t Probabilities
with Low-Rank Methods in R," Journal of Statistical Software, 101.4,
1-25 (2022) <doi:10.18637/jss.v101.i04>.
Documentation:
Downloads:
Reverse dependencies:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=tlrmvnmvt
to link to this page.