Other packages > Find by keyword >

VeccTMVN  

Multivariate Normal Probabilities using Vecchia Approximation
View on CRAN: Click here


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", "1.3.1")



Attach the package and use:
library("VeccTMVN")
Maintained by
Jian Cao
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-01-26
Latest Update: 2025-07-14
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 1.3.1, https://cran.r-project.org/web/packages/VeccTMVN. Accessed 08 Mar. 2026.
Previous versions and publish date:
1.0.0 (2024-01-26 12:30), 1.1.0 (2024-08-16 21:50), 1.1.1 (2024-09-05 01:00), 1.2.0 (2024-09-23 07:00), 1.2.1 (2024-11-26 20:40), 1.3.0 (2025-07-14 17:40), 1.3.1 (2025-08-19 08:20)
Other packages that cited VeccTMVN R package
View VeccTMVN citation profile
Other R packages that VeccTMVN depends, imports, suggests or enhances
Complete documentation for VeccTMVN
Functions, R codes and Examples using the VeccTMVN R package
Full VeccTMVN package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
ptycho  
Bayesian Variable Selection with Hierarchical Priors
Bayesian variable selection for linear regression models using hierarchical priors. There is a pr ...
Download / Learn more Package Citations See dependency  
vars  
VAR Modelling
Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error varia ...
Download / Learn more Package Citations See dependency  
candisc  
Visualizing Generalized Canonical Discriminant and Canonical Correlation Analysis
Functions for computing and visualizing generalized canonical discriminant analyses and canonical c ...
Download / Learn more Package Citations See dependency  
generator  
Generate Data Containing Fake Personally Identifiable Information
Allows users to quickly and easily generate fake data containing Personally Identifiable Informatio ...
Download / Learn more Package Citations See dependency  

26,270

R Packages

223,360

Dependencies

70,376

Author Associations

26,265

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA