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," Statistics and Computing, 31.1, 1-16 (2021)
<doi:10.1007/s11222-020-09978-y>;
Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "tlrmvnmvt:
Computing High-Dimensional Multivariate Normal and Student-t Probabilities
with Low-Rank Methods in R," Journal of Statistical Software, 101.4,
1-25 (2022) <doi:10.18637/jss.v101.i04>.
| Version: |
1.1.2 |
| Depends: |
R (≥ 4.2.0) |
| Imports: |
Rcpp (≥ 1.0.8), methods (≥ 4.2.0) |
| LinkingTo: |
Rcpp (≥ 1.0.8), RcppEigen (≥ 0.3.3.5.0), BH (≥ 1.69.0.1) |
| Suggests: |
mvtnorm (≥ 1.0.11) |
| Published: |
2022-06-09 |
| Author: |
Marc Genton [aut],
David Keyes [aut],
George Turkiyyah [aut],
Jian Cao [aut, cre] |
| Maintainer: |
Jian Cao <jian.cao at kaust.edu.sa> |
| License: |
GPL-2 |
| NeedsCompilation: |
yes |
| Citation: |
tlrmvnmvt citation info |
| Materials: |
README NEWS |
| CRAN checks: |
tlrmvnmvt results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
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