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tlrmvnmvt: Low-Rank Methods for MVN and MVT Probabilities

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>.

Version: 1.1.2
Depends: R (≥ 4.2.0)
Imports: Rcpp (≥ 1.0.8), methods (≥ 4.2.0)
LinkingTo: Rcpp (≥ 1.0.8), RcppEigen (≥ 0.3.3.5.0), BH (≥ 1.69.0.1)
Suggests: mvtnorm (≥ 1.0.11)
Published: 2022-06-09
DOI: 10.32614/CRAN.package.tlrmvnmvt
Author: Marc Genton [aut], David Keyes [aut], George Turkiyyah [aut], Jian Cao [aut, cre]
Maintainer: Jian Cao <jian.cao at kaust.edu.sa>
License: GPL-2
NeedsCompilation: yes
Citation: tlrmvnmvt citation info
Materials: README NEWS
CRAN checks: tlrmvnmvt results

Documentation:

Reference manual: tlrmvnmvt.pdf

Downloads:

Package source: tlrmvnmvt_1.1.2.tar.gz
Windows binaries: r-devel: tlrmvnmvt_1.1.2.zip, r-release: tlrmvnmvt_1.1.2.zip, r-oldrel: tlrmvnmvt_1.1.2.zip
macOS binaries: r-release (arm64): tlrmvnmvt_1.1.2.tgz, r-oldrel (arm64): tlrmvnmvt_1.1.2.tgz, r-release (x86_64): tlrmvnmvt_1.1.2.tgz, r-oldrel (x86_64): tlrmvnmvt_1.1.2.tgz
Old sources: tlrmvnmvt archive

Reverse dependencies:

Reverse imports: CensMFM, CensSpatial, MomTrunc

Linking:

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