tlrmvnmvt: Low-Rank Methods for MVN and MVT Probabilities
Implementation of the classic Genz algorithm and a novel tile-low-rank algorithm for computing relatively high-dimensional multivariate normal (MVN) and Student-t (MVT) probabilities.
References used for this package:
Foley, James, Andries van Dam, Steven Feiner, and John Hughes.
"Computer Graphics: Principle and Practice". Addison-Wesley
Publishing Company. Reading, Massachusetts (1987, ISBN:0-201-84840-6 1);
Genz, A., "Numerical computation of multivariate
normal probabilities," Journal of Computational and
Graphical Statistics, 1, 141-149 (1992) <doi:10.1080/10618600.1992.10477010>;
Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "Exploiting Low
Rank Covariance Structures for Computing High-Dimensional Normal and Student-
t Probabilities" (2019) <https://marcgenton.github.io/2019.CGKT.manuscript.pdf>.
| Version: |
1.1.0 |
| Depends: |
R (≥ 3.6.0) |
| Imports: |
Rcpp (≥ 1.0.1) |
| LinkingTo: |
Rcpp (≥ 1.0.1), RcppEigen (≥ 0.3.3.5.0), BH (≥ 1.69.0.1) |
| Suggests: |
mvtnorm (≥ 1.0.11) |
| Published: |
2020-04-06 |
| Author: |
Jian Cao, Marc Genton, David Keyes, George Turkiyyah |
| Maintainer: |
Jian Cao <jian.cao at kaust.edu.sa> |
| License: |
GPL-2 |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| CRAN checks: |
tlrmvnmvt results |
Downloads:
Reverse dependencies:
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