tlrmvnmvt

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Low-Rank Methods for MVN and MVT Probabilities

David Keyes, George Turkiyyah, Marc Genton, Jian Cao

Last update: 9 June 2022

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1.2

Source code repository: https://github.com/cran/tlrmvnmvt

Cites work

• Numerical Computation of Multivariate Normal Probabilities
• Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities
• tlrmvnmvt: Computing High-Dimensional Multivariate Normal and Student-t Probabilities with Low-Rank Methods in R

Cited In (4)

• An EM algorithm for estimating the parameters of the multivariate skew-normal distribution with censored responses
• CensSpatial
• MomTrunc
• CensMFM

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