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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", "1.0.0")



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: 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 1.0.0, https://cran.r-project.org/web/packages/VeccTMVN
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