mvgb (Q104839)
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Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mvgb |
Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method |
Statements
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).
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expanded from: LGPL (≥ 2.1) (English)
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Alan Genz
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3 October 2024
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