mvgb
From MaRDI portal
Software:104839
Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method
Last update: 2 September 2023
Software version identifier: 0.0.3, 0.0.1, 0.0.2, 0.0.4
Copyright license: GNU Lesser General Public License, version 2.1, GNU Lesser General Public License, version 3.0
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).
