mvgb

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

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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