mvtnorm

Multivariate Normal and t Distributions

Xuefei Mi, Frank Bretz, Torsten Hothorn, Alan Genz, Tetsuhisa Miwa

Last update: 27 November 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1-3, 0.1-8, 0.2-1, 0.3-0, 0.3-1, 0.3-3, 0.3-5, 0.3-6, 0.5-0, 0.5-1, 0.5-4, 0.5-5, 0.5-6, 0.5-7, 0.5-8, 0.5-9, 0.5-10, 0.5-11, 0.5-12, 0.5-14, 0.5-15, 0.6-0, 0.6-1, 0.6-2, 0.6-3, 0.6-5, 0.6-6, 0.6-7, 0.6-8, 0.7-0, 0.7-1, 0.7-2, 0.7-3, 0.7-4, 0.7-5, 0.8-0, 0.8-1, 0.8-2, 0.8-3, 0.9-0, 0.9-1, 0.9-2, 0.9-3, 0.9-4, 0.9-5, 0.9-7, 0.9-8, 0.9-9, 0.9-92, 0.9-94, 0.9-95, 0.9-96, 0.9-99, 0.9-999, 0.9-9991, 0.9-9992, 0.9-9993, 0.9-9994, 0.9-9995, 0.9-9996, 0.9-9997, 0.9-9998, 0.9-9999, 0.9-99991, 0.9-99992, 1.0-0, 1.0-1, 1.0-2, 1.0-3, 1.0-4, 1.0-5, 1.0-6, 1.0-7, 1.0-8, 1.0-9, 1.0-10, 1.0-11, 1.0-12, 1.1-0, 1.1-1, 1.1-2, 1.2-0, 1.2-1, 1.2-2, 1.2-3, 1.2-4

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

Description

Computes multivariate normal and t probabilities, quantiles, random deviates, and densities. Log-likelihoods for multivariate Gaussian models and Gaussian copulae parameterised by Cholesky factors of covariance or precision matrices are implemented for interval-censored and exact data, or a mix thereof. Score functions for these log-likelihoods are available. A class representing multiple lower triangular matrices and corresponding methods are part of this package.