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VeccTMVN
View on CRAN: Click
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Download and install VeccTMVN package within the R console
Install from CRAN:
install.packages("VeccTMVN")
Install from Github:
library("remotes")
install_github("cran/VeccTMVN")
Install by package version:
library("remotes")
install_version("VeccTMVN", "1.2.1")
Attach the package and use:
library("VeccTMVN")
Maintained by
Jian Cao
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
10.32614/CRAN.package.VeccTMVN . https://github.com/JCatwood/VeccTMVN/issues . https://github.com/JCatwood/VeccTMVN . VeccTMVN results . VeccTMVN.pdf . VeccTMVN_1.2.1.tar.gz . VeccTMVN_1.2.1.zip . VeccTMVN_1.2.1.zip . VeccTMVN_1.2.1.zip . VeccTMVN_1.2.1.tgz . VeccTMVN_1.2.1.tgz . VeccTMVN_1.2.1.tgz . VeccTMVN_1.2.1.tgz . VeccTMVN_1.2.1.tgz . VeccTMVN_1.2.1.tgz . VeccTMVN archive . https://CRAN.R-project.org/package=VeccTMVN .
First Published: 2024-01-26
Latest Update: 2024-01-26
Description:
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>.
How to cite:
Jian Cao (2024). VeccTMVN: Multivariate Normal Probabilities using Vecchia Approximation. R package version 1.2.1, https://cran.r-project.org/web/packages/VeccTMVN. Accessed 03 Apr. 2025.
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