The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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>.
| Version: | 1.2.0 |
| Imports: | Rcpp (≥ 1.0.10), Matrix (≥ 1.5-3), GpGp (≥ 0.4.0), truncnorm (≥ 1.0-8), GPvecchia, TruncatedNormal, nleqslv |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0), lhs, mvtnorm |
| Published: | 2024-09-23 |
| DOI: | 10.32614/CRAN.package.VeccTMVN |
| Author: | Jian Cao [aut, cre], Matthias Katzfuss [aut] |
| Maintainer: | Jian Cao <jcao2416 at gmail.com> |
| BugReports: | https://github.com/JCatwood/VeccTMVN/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/JCatwood/VeccTMVN |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | VeccTMVN results |
| Reference manual: | VeccTMVN.pdf |
| Package source: | VeccTMVN_1.2.0.tar.gz |
| Windows binaries: | r-devel: VeccTMVN_1.2.0.zip, r-release: VeccTMVN_1.2.0.zip, r-oldrel: VeccTMVN_1.2.0.zip |
| macOS binaries: | r-release (arm64): VeccTMVN_1.2.0.tgz, r-oldrel (arm64): VeccTMVN_1.2.0.tgz, r-release (x86_64): VeccTMVN_1.2.0.tgz, r-oldrel (x86_64): VeccTMVN_1.2.0.tgz |
| Old sources: | VeccTMVN archive |
Please use the canonical form https://CRAN.R-project.org/package=VeccTMVN to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.