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: 1.0.0
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: 2019-11-04
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:

Reference manual: tlrmvnmvt.pdf
Package source: tlrmvnmvt_1.0.0.tar.gz
Windows binaries: r-devel: tlrmvnmvt_1.0.0.zip, r-devel-gcc8: tlrmvnmvt_1.0.0.zip, r-release: tlrmvnmvt_1.0.0.zip, r-oldrel: not available
OS X binaries: r-release: tlrmvnmvt_1.0.0.tgz, r-oldrel: not available

Linking:

Please use the canonical form https://CRAN.R-project.org/package=tlrmvnmvt to link to this page.