Package: VeccTMVN 1.2.1
VeccTMVN: Multivariate Normal Probabilities using Vecchia Approximation
Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities" <doi:10.48550/arXiv.2311.09426>. Two major references for the development of our method are Alan Genz (1992) "Numerical Computation of Multivariate Normal Probabilities" <doi:10.1080/10618600.1992.10477010> and Z. I. Botev (2017) "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting" <doi:10.48550/arXiv.1603.04166>.
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VeccTMVN_1.2.1.tar.gz
VeccTMVN_1.2.1.tar.gz(r-4.5-noble)VeccTMVN_1.2.1.tar.gz(r-4.4-noble)
VeccTMVN_1.2.1.tgz(r-4.4-emscripten)VeccTMVN_1.2.1.tgz(r-4.3-emscripten)
VeccTMVN.pdf |VeccTMVN.html✨
VeccTMVN/json (API)
NEWS
# Install 'VeccTMVN' in R: |
install.packages('VeccTMVN', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/jcatwood/vecctmvn/issues
Last updated 17 days agofrom:bf5a2517aa. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 26 2024 |
R-4.5-linux-x86_64 | OK | Nov 26 2024 |
Exports:FIC_reorder_univarfind_nn_corrget_sp_inv_cholloglk_censor_MVNmvrandnmvrandtpmvnpmvn_MLMCpmvtpmvt_MLMCptmvrandnunivar_orderVecc_reorder
Dependencies:alabamaBHdotCall64fieldsFNNGpGpGPvecchialatticemapsMatrixnleqslvnumDerivqrngRcppRcppArmadillospacefillrspamsparseinvTruncatedNormaltruncnormviridisLite