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tlrmvnmvt  

Low-Rank Methods for MVN and MVT Probabilities
View on CRAN: Click here


Download and install tlrmvnmvt package within the R console
Install from CRAN:
install.packages("tlrmvnmvt")

Install from Github:
library("remotes")
install_github("cran/tlrmvnmvt")

Install by package version:
library("remotes")
install_version("tlrmvnmvt", "1.1.2.1")



Attach the package and use:
library("tlrmvnmvt")
Maintained by
Jian Cao
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-11-04
Latest Update: 2022-06-09
Description:
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>.
How to cite:
Jian Cao (2019). tlrmvnmvt: Low-Rank Methods for MVN and MVT Probabilities. R package version 1.1.2.1, https://cran.r-project.org/web/packages/tlrmvnmvt. Accessed 03 Jul. 2026.
Previous versions and publish date:
1.0.0 (2019-11-04 17:50), 1.0.1 (2020-01-11 14:40), 1.1.0 (2020-04-06 12:00), 1.1.1 (2022-01-29 00:30), 1.1.2 (2022-06-09 11:40)
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Complete documentation for tlrmvnmvt
Functions, R codes and Examples using the tlrmvnmvt R package
Some associated functions: algorithms . pmvn . pmvt . tlrmvnmvt-package . zorder . 
Some associated R codes: RcppExports.R . mvn.R .  Full tlrmvnmvt package functions and examples
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