Package: tlrmvnmvt 1.1.2

Jian Cao

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>.

Authors:Marc Genton [aut], David Keyes [aut], George Turkiyyah [aut], Jian Cao [aut, cre]

tlrmvnmvt_1.1.2.tar.gz
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tlrmvnmvt_1.1.2.tgz(r-4.4-emscripten)tlrmvnmvt_1.1.2.tgz(r-4.3-emscripten)
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5 exports 1 stars 2.09 score 3 dependencies 9 dependents 5 scripts 321 downloads

Last updated 2 years agofrom:8fc44ebd63. Checks:OK: 1 NOTE: 1. Indexed: yes.

Exports:GenzBretzpmvnpmvtTLRQMCzorder

Dependencies:BHRcppRcppEigen