mnorm: Multivariate Normal Distribution

Calculates and differentiates probabilities and density of (conditional) multivariate normal distribution and Gaussian copula (with various marginal distributions) using methods described in A. Genz (2004) <doi:10.1023/B:STCO.0000035304.20635.31>, A. Genz, F. Bretz (2009) <doi:10.1007/978-3-642-01689-9>, H. I. Gassmann (2003) <doi:10.1198/1061860032283> and E. Kossova, B. Potanin (2018) <https://ideas.repec.org/a/ris/apltrx/0346.html>.

Getting started

Package details

AuthorBogdan Potanin [aut, cre, ctb], Sofiia Dolgikh [ctb]
MaintainerBogdan Potanin <bogdanpotanin@gmail.com>
LicenseGPL (>= 2)
Version1.2.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mnorm")

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mnorm documentation built on May 29, 2024, 2:05 a.m.