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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: | 1.2.1 |
| 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: | 2024-11-26 |
| 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_1.2.1.tar.gz |
| Windows binaries: | r-devel: VeccTMVN_1.2.1.zip, r-release: VeccTMVN_1.2.1.zip, r-oldrel: VeccTMVN_1.2.1.zip |
| macOS binaries: | r-release (arm64): VeccTMVN_1.2.1.tgz, r-oldrel (arm64): VeccTMVN_1.2.1.tgz, r-release (x86_64): VeccTMVN_1.2.1.tgz, r-oldrel (x86_64): VeccTMVN_1.2.1.tgz |
| Old sources: | VeccTMVN archive |
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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.