Nothing
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pmvESN = function(lower = rep(-Inf,length(lambda)),upper=rep(Inf,length(lambda)),mu = rep(0,length(lambda)),Sigma,lambda,tau,log2 = FALSE){
tautil<-tau/sqrt(1+sum(lambda^2))
if(tautil< -37){
#print("normal aproximation")
Delta = sqrtm(Sigma)%*%lambda/sqrt(1+sum(lambda^2))
Gamma = Sigma - Delta%*%t(Delta)
rownames(Gamma) <- colnames(Gamma)
return(pmvnormt(lower = lower,upper = upper,mean = c(mu - tautil*Delta),sigma = Gamma,uselog2 = log2))
}
aaum = c(lower-mu,-Inf)
baum = c(upper-mu,tautil)
mu<-as.matrix(mu)
lambda<-as.matrix(lambda)
varphi<-lambda/sqrt(1+sum(lambda^2))
p<-length(mu)
SS = sqrtm(Sigma)
Omega1<- cbind(Sigma,-SS%*%varphi)
Omega2<- cbind(-t(SS%*%varphi),1)
Omega<- rbind(Omega1,Omega2)
rownames(Omega) <- colnames(Omega)
if(log2 == TRUE){
return(pmvnormt(lower = aaum,upper = baum,mean = rep(0,p+1),sigma = Omega,uselog2 = TRUE) - pnorm(tautil,log.p = TRUE)/log(2))
}else{
return(pmvnormt(lower = aaum,upper = baum,mean = rep(0,p+1),sigma = Omega)/pnorm(tautil))
}
}
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