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CRANmvgbMaRDI QIDQ104839

Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method

Bruce Swihart, Alan Genz

Last update: 2 September 2023

Copyright license: GNU Lesser General Public License, version 2.1, GNU Lesser General Public License, version 3.0

Software version identifier: 0.0.3, 0.0.1, 0.0.2, 0.0.4

Description

Generates multivariate subgaussian stable probabilities using the QRSVN algorithm as detailed in Genz and Bretz (2002) <doi:10.1198/106186002394> but by sampling positive stable variates not chi/sqrt(nu).

Cites work

• Comparison of Methods for the Computation of MultivariatetProbabilities

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