mnorm

MaRDI QIDQ81368CRANFDO

Authors Bogdan Potanin

Last update 29 November 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 1.1.0, 1.1.1, 1.0.0, 1.0.1, 1.2.0, 1.2.1, 1.2.2

Description

Calculates and differentiates probabilities and density of (conditional) multivariate normal distribution and Gaussian copula (with various marginal distributions) using methods described in A. Genz (2004) <doi:10.1023/B:STCO.0000035304.20635.31>, A. Genz, F. Bretz (2009) <doi:10.1007/978-3-642-01689-9>, H. I. Gassmann (2003) <doi:10.1198/1061860032283> and E. Kossova, B. Potanin (2018) <https://ideas.repec.org/a/ris/apltrx/0346.html>.

Cites work

• Multivariate Normal Probabilities: Implementing an Old Idea of Plackett's
• Numerical computation of rectangular bivariate and trivariate normal and t probabilities
• Computation of Multivariate Normal and t Probabilities

Cited in

(2)

• sfaR
• switchSelection

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