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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 |
| DOI: | 10.32614/CRAN.package.tlrmvnmvt |
| 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 |
| Reference manual: | tlrmvnmvt.pdf |
| Package source: | tlrmvnmvt_1.1.2.tar.gz |
| Windows binaries: | r-devel: tlrmvnmvt_1.1.2.zip, r-release: tlrmvnmvt_1.1.2.zip, r-oldrel: tlrmvnmvt_1.1.2.zip |
| macOS binaries: | r-release (arm64): tlrmvnmvt_1.1.2.tgz, r-oldrel (arm64): tlrmvnmvt_1.1.2.tgz, r-release (x86_64): tlrmvnmvt_1.1.2.tgz, r-oldrel (x86_64): tlrmvnmvt_1.1.2.tgz |
| Old sources: | tlrmvnmvt archive |
| Reverse imports: | CensMFM, CensSpatial, MomTrunc |
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