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mvtnorm: Multivariate Normal and t Distributions

Computes multivariate normal and t probabilities, quantiles, random deviates, and densities. Log-likelihoods for multivariate Gaussian models and Gaussian copulae parameterised by Cholesky factors of covariance or precision matrices are implemented for interval-censored and exact data, or a mix thereof. Score functions for these log-likelihoods are available. A class representing multiple lower triangular matrices and corresponding methods are part of this package.

Version: 1.3-2
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: qrng, numDeriv
Published: 2024-11-04
DOI: 10.32614/CRAN.package.mvtnorm
Author: Alan Genz [aut], Frank Bretz [aut], Tetsuhisa Miwa [aut], Xuefei Mi [aut], Friedrich Leisch [ctb], Fabian Scheipl [ctb], Bjoern Bornkamp ORCID iD [ctb], Martin Maechler ORCID iD [ctb], Torsten Hothorn ORCID iD [aut, cre]
Maintainer: Torsten Hothorn <Torsten.Hothorn at R-project.org>
License: GPL-2
URL: http://mvtnorm.R-forge.R-project.org
NeedsCompilation: yes
Citation: mvtnorm citation info
Materials: NEWS
In views: Distributions, Finance
CRAN checks: mvtnorm results

Documentation:

Reference manual: mvtnorm.pdf
Vignettes: Using mvtnorm (source, R code)
Multivariate Normal Log-likelihoods in the mvtnorm Package (source, R code)

Downloads:

Package source: mvtnorm_1.3-2.tar.gz
Windows binaries: r-devel: mvtnorm_1.3-2.zip, r-release: mvtnorm_1.3-2.zip, r-oldrel: mvtnorm_1.3-2.zip
macOS binaries: r-release (arm64): mvtnorm_1.3-2.tgz, r-oldrel (arm64): mvtnorm_1.3-2.tgz, r-release (x86_64): mvtnorm_1.3-2.tgz, r-oldrel (x86_64): mvtnorm_1.3-2.tgz
Old sources: mvtnorm archive

Reverse dependencies:

Reverse depends: AdMit, AFheritability, AnaCoDa, anMC, asd, aSPU, AssocTests, BACprior, Bayesiangammareg, bayeslongitudinal, bayesmeta, BayesPieceHazSelect, BayesVarSel, BAYSTAR, bgmm, bgsmtr, BinNonNor, BinNor, BNPTSclust, bpp, BSPADATA, bulletcp, calibrator, caper, CDM, CGEN, COMBAT, CommonMean.Copula, condMVNorm, COST, covEB, CPMCGLM, dawai, depend.truncation, distrEllipse, dotgen, eCV, EMMIXSSL, emulator, factorial2x2, FAmle, faoutlier, FPDclustering, freqdom, freqdom.fda, freqparcoord, frequentistSSDBinary, FSTpackage, genetics, GenOrd, gfboost, GGMridge, GGMselect, GLMaSPU, glmm, GLSME, gmmsslm, growthrate, hbim, HCmodelSets, hglasso, hhsmm, highmean, HMMcopula, holland, hsem, ICS, ICSNP, IndepTest, INPower, JPEN, LGEWIS, logcondiscr, LSMonteCarlo, mada, MAMS, MBCbook, mBvs, mc2d, MCPMod, MCPModPack, mdhglm, mediation, MetabolAnalyze, mgarchBEKK, mhsmm, miscFuncs, MIXFIM, mixsmsn, MNS, Modalclust, mombf, multcomp, multimix, MultiOrd, multxpert, mutoss, mvnTest, mvProbit, NegBinBetaBinreg, nparcomp, OptHoldoutSize, optimStrat, ordinalpattern, OrdNor, PairedData, parallelMCMCcombine, party, partykit, PCMRS, PGEE, phase1RMD, PHeval, plgp, PoisBinNonNor, PoisBinOrd, PoisBinOrdNor, PoisNor, powerCompRisk, powerGWASinteraction, psbcGroup, qcr, QRM, randomizeR, reglogit, robustsae, rPowerSampleSize, rtip, rwc, samplesizelogisticcasecontrol, sasLM, sdetorus, selectiongain, sgPLS, simboot, SimDissolution, sodavis, spate, spatialprobit, sRDA, sscor, SSsimple, symmoments, TAR, texmex, tilting, timedeppar, tmvtnorm, tram, uncertainty, uskewFactors, vagam, wbsts, weightedScores, yuima
Reverse imports: ablasso, abtest, AccelStab, adaptsmoFMRI, adass, ADCT, agfh, AHMbook, ALLSPICER, alphastable, animalEKF, anipaths, AntMAN, apollo, approximator, ARCensReg, ARCokrig, asbio, ASICS, AssetCorr, ASSISTant, ATE.ERROR, BalanceCheck, Ball, BAMBI, bamlss, BANAM, banocc, bayesammi, BayesBEKK, BayesComm, BayesCR, BayesFactor, BayesFBHborrow, bayesGARCH, BayesianFactorZoo, BayesianTools, Bayesiantreg, bayesianVARs, BayesMFSurv, BayesMortalityPlus, BayesMultiMode, BayesRGMM, BayesSurvive, bayesTFR, BayesTools, bbmle, BCClong, BCDAG, bcrm, bdots, BElikelihood, Bergm, Bestie, BFpack, biClassify, bindata, BinGSD, binMto, BinOrdNonNor, binspp, BINtools, biomvRCNS, bipd, BLA, BLOQ, blrm, BMTAR, Bolstad, bootnet, bootPLS, boral, borrowr, bossR, bpgmm, BPRMeth, BRBVS, bridgesampling, BSagri, bsam, BSL, bspcov, bssn, BTYDplus, BVAR, cAIC4, CALIBERrfimpute, carfima, cases, cats, causalweight, CCTpack, cdcsis, CDGHMM, cemco, CenBAR, CensMFM, CensSpatial, CIAAWconsensus, circular, clikcorr, clinDR, clinfun, ClusterVAR, clustMD, ClusVis, coin, combinIT, CoMiRe, complex, CompMix, CondMVT, confintROB, ConformalSmallest, ConfZIC, conogive, ConsensusClustering, ContaminatedMixt, cope, copula, copulaedas, copulaSim, CorrBin, corrDNA, CorrToolBox, coseq, CoSMoS, covsep, CovTools, CPBayes, cpss, crawl, crlmm, crmPack, crt2power, csn, ctsem, CTxCC, CureAuxSP, cwot, cxr, cyclomort, cypress, DBpower, DCEM, DCEtool, deBInfer, decisionSupport, deepgmm, deepgp, DEGraph, DEM, denseFLMM, depCensoring, depth.plot, DescTools, DFIT, DGP4LCF, difconet, dirichletprocess, discSurv, DMRScan, DNLC, DoseFinding, DoubleML, dppmix, drcSeedGerm, drugDemand, drugdevelopR, dvmisc, dwp, dyads, EAinference, eBsc, Ecfun, ecostats, ecostatscale, ecpc, eefAnalytics, EFAutilities, eGST, ei, EMC2, emery, emmeans, EMSS, endogenous, equateMultiple, erfe, escalation, ETC, eventPred, EventPredInCure, evolqg, evoTS, ExtremalDep, ExtremeRisks, fabMix, fastFMM, FastGP, fdaMocca, fdasrvf, fdesigns, fect, ffp, fic, finbipartite, fingraph, fitHeavyTail, fitODBOD, fitode, flevr, flexsurv, FlexVarJM, FLORAL, flps, FMsmsnReg, fMultivar, foreSIGHT, fssemR, funcharts, fungible, funreg, FuzzyClass, fuzzyforest, GBJ, GCPBayes, GDILM.ME, GDILM.SIR, geeCRT, geeVerse, geiger, GeneGeneInteR, GenEst, genscore, gerbil, getspanel, gexp, GFDmcv, GFDrmst, GFDrmtl, GFisher, gfiUltra, glmmfields, glmmPen, gMCP, gMCPLite, gmvjoint, goric, gorica, GPCMlasso, GPEMR, GPGame, graphicalEvidence, graphicalExtremes, graphicalMCP, graphicalVAR, graphsim, graposas, gratis, GRelevance, GrFA, GroupSeq, grpseq, gsDesign2, gsMAMS, gsrsb, gsynth, GWEX, H2x2Factorial, HCTDesign, hdbayes, HDCI, hdpGLM, HeckmanEM, heterocop, hettx, highriskzone, hmclearn, hmer, HMMextra0s, hmmm, HMMmlselect, HonestDiD, httk, HydroPortailStats, hypervolume, ic.infer, icensBKL, iClusterVB, ICSClust, ICSOutlier, ICtest, iDINGO, idopNetwork, imbalance, iMediate, IMIX, imputeFin, informativeSCI, Infusion, INLAjoint, intamap, interflex, iopsych, iprior, IRR2FPR, isni, jage, joineRML, jtdm, Karen, kerDAA, Kernelheaping, kernscr, KGode, Kmedians, KrigInv, ks, L2DensityGoFtest, LaMa, lamle, landsepi, LassoGEE, latent2likert, latentFactoR, latentnet, lavaSearch2, lawstat, LCAextend, lchemix, lcmm, LDATS, lessSEM, lg, libcoin, linpk, LINselect, list, LMest, LogConcDEAD, LongituRF, longke, LongMemoryTS, lpcde, lrgs, lrstat, lsasim, lsbclust, LSVAR, lvnet, MagmaClustR, marcher, MARSS, mashr, matchMulti, matrixNormal, maxcombo, maxstat, MBHdesign, MBSP, MCCM, MCPAN, MCPModGeneral, mcprofile, MEclustnet, Mediana, MedianaDesigner, meerva, Melissa, MEPDF, merTools, MESS, metaBMA, metamisc, metaSEM, metaSurvival, mets, mHMMbayes, micemd, mildsvm, MIRES, misaem, miscF, MissCP, missMDA, missMethods, missoNet, mistral, miWQS, mixAR, MixGHD, MixSemiRob, mixSPE, MixtureMissing, MJMbamlss, MKpower, MLEce, mlt, mlts, mlVAR, mmcm, mmmgee, moderate.mediation, modnets, modsem, momentuHMM, MomTrunc, monomvn, moodlequizR, motmot, MQMF, mratios, MRMCaov, msaenet, MSclust, msImpute, MSIMST, msm, MTS, mult.latent.reg, MultBiplotR, multibridge, MultiGroupO, multimark, multinomialLogitMix, multIntTestFunc, MultiStatM, multivator, mvDFA, mvMAPIT, MVNBayesian, mvord, mvpd, mvSLOUCH, mvst, MVTests, NCutYX, NestMRMC, netcmc, nethet, NetOrigin, NetworkChange, networktree, nhm, nlmm, nlsem, nmarank, nonmem2R, nonnest2, nonparametric.bayes, norMmix, nph, nphPower, NRejections, NTW, NVCSSL, OBASpatial, oclust, OHPL, OPDOE, OPSR, OptimalGoldstandardDesigns, otrimle, palm, pamm, pammtools, PanCanVarSel, parTimeROC, pcaPP, pcFactorStan, PCMBase, pedtricks, PEPBVS, petersenlab, pez, pgee.mixed, PH1XBAR, Phase12Compare, PhenotypeSimulator, phylometrics, phyr, pivmet, PlatformDesign, plsmmLasso, plsRbeta, plsRglm, plsVarSel, pmartR, PMCMRplus, pmhtutorial, pmwg, PoissonMultinomial, polycor, pomp, pooling, PopED, popPCR, porridge, posologyr, PosRatioDist, Power2Stage, powerly, powerNLSEM, powerPLS, PowerTOST, predtools, projpred, pRoloc, ProteoBayes, PRP, PRSPGx, psborrow, psborrow2, PTERP, ptmixed, PUMP, qape, QFASA, qpgraph, qrLMM, qrNLMM, QTLEMM, qtlpoly, QuadratiK, quantdr, radiant.design, random.polychor.pa, rankFD, rankinma, raptr, RBesT, RCBR, RcppCensSpatial, RCTrep, Rdrw, Rdta, ref.ICAR, REFA, refitME, regrap, regtools, remaCor, REndo, RepeatedHighDim, restriktor, RGMM, RHPCBenchmark, RISCA, riskPredictClustData, riskRegression, RJafroc, rjmcmc, RMBC, RNGforGPD, robflreg, RoBMA, RobRegression, robustBLME, rocbc, rospca, Rpadrino, RPANDA, rpf, rpql, RprobitB, rrcov, RRRR, rstpm2, SAGM, sahpm, sambia, SAMGEP, sampleSelection, samplingDataCRT, scaleboot, scDesign3, sdmTMB, sdPrior, secr, sedproxy, seeds, segMGarch, SeleMix, SEMgraph, semicontMANOVA, sensitivity2x2xk, sensmediation, SeqNet, sgee, sGMRFmix, sharpr2, shinyKGode, shock, shrinkem, SightabilityModel, SimBIID, SimComp, SimCorrMix, simdata, simexaft, simpleMH, simplePHENOTYPES, simstandard, SimTimeVar, simtrial, simukde, sjSDM, skewlmm, skewMLRM, skipTrack, SlaPMEG, SLTCA, SMARTp, smicd, smile, SmoothHazard, snem, SNPassoc, sns, SNSeg, sorocs, soundgen, sp23design, spagmix, spANOVA, SPARRAfairness, sparsediscrim, SparseTSCGM, sparsevar, spass, SpatGC, SpatialGEV, spBFA, spCP, sphet, spikeSlabGAM, SplitKnockoff, SPsimSeq, spup, squeezy, SSOSVM, stableGR, statGraph, StempCens, stepPenal, strata.MaxCombo, StratifiedMedicine, sts, submax, Superpower, SurrogateBMA, SurvDisc, survParamSim, survRM2adapt, svrep, swgee, SynDI, tailDepFun, TaylorRussell, tci, telefit, telescope, TensorClustering, testtwice, tf, TFisher, ThurMod, thurstonianIRT, timedelay, timeROC, TMixClust, TPD, tramME, tramvs, treeDA, TrialEmulation, triggerstrategy, TSMSN, tsxtreme, TTAinterfaceTrendAnalysis, txshift, ui, umx, uniReg, UPCM, UtilityFrailtyPH12, VARDetect, variationalDCM, VARshrink, varTestnlme, vasicek, vasicekreg, vccp, vglmer, VineCopula, voi, WACS, weightedRank, windAC, womblR, wqspt, WRI, XDE, ZVCV
Reverse linking to: bayescopulareg, ClusVis, libcoin, MAMS, mets, MomTrunc, party, RoBMA
Reverse suggests: ACE.CoCo, acopula, Anthropometry, apsimx, aqp, bdsvd, bigutilsr, bivrp, BLModel, BNSP, brokenstick, BuyseTest, car, carSurv, causact, ccaPP, celltrackR, CerioliOutlierDetection, cheem, chngpt, clustTMB, CMA, cola, coloc, colorspace, CondCopulas, conformalInference.multi, cornet, corrcoverage, cotram, coxme, cubature, densratio, DepthProc, DetMCD, DetR, distfreereg, distillML, distributional, DLMtool, docopulae, dqrng, ecp, ElliptCopulas, EMMIXmfa, ensemblepp, epmrob, equalCovs, EstimateGroupNetwork, evitaicossa, fabletools, fairadapt, fastcpd, FastPCS, FastRCS, fCopulae, fgm, flexmix, fmcmc, FNN, fpc, frab, FusionLearn, GAGAs, gamreg, gcKrig, geex, GeneralizedWendland, GET, ggdist, gips, glmlep, gmm, GPFDA, GPvecchia, greta, gscounts, gsDesign, hda, hdm, hermiter, HH, highfrequency, horseshoenlm, hpa, HSAUR, HSAUR2, HSAUR3, hyperSpec, ipmr, ipred, jocre, KSD, kyotil, laGP, lmls, LMMstar, lnmCluster, lognorm, longclust, ltsspca, magi, MCMCglmm, mdw, metadat, metafor, mev, MfUSampler, mglasso, miloR, mixAK, MKinfer, mmcif, MNM, modeest, model4you, MOFA2, mplusParallel.automation, MSEtool, MSG, mstDIF, multipleOutcomes, MVA, mvnfast, netmeta, newIMVC, nsROC, occupationMeasurement, OncoBayes2, OpenMx, OwenQ, palmtree, pcalg, PCGII, PCObw, polyCub, PortfolioOptim, poth, POUMM, prabclus, probout, pscl, psychmeta, psychonetrics, qfratio, qtl2pleio, rankCorr, rbmi, RcmdrPlugin.EZR, RcmdrPlugin.NMBU, RcppNumerical, regressinator, Rforestry, ridgetorus, roboBayes, robustHD, robustrank, robustvarComp, rockchalk, rodd, rr2, samplr, SAMtool, sBIC, scDIFtest, sensitivity, shapeNA, simcausal, simulator, sirt, SIRthresholded, skedastic, SparseGrid, sparseLTSEigen, sparseMVN, sphunif, ssmodels, ssmrob, stochvol, strucchange, strucchangeRcpp, SuperGauss, Surrogate, SWIM, TAM, thames, tlrmvnmvt, torch, tramnet, transreg, TruncatedNormal, ttScreening, unusualprofile, VBel, vcd, VeccTMVN, viking, WPKDE, wsyn, xpose
Reverse enhances: geostatsp, starnet

Linking:

Please use the canonical form https://CRAN.R-project.org/package=mvtnorm 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.