mnorm

CRANmnormMaRDI QIDQ81368

Multivariate Normal Distribution

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

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

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