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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
Browse package contents
Package details |
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| Author | Bogdan Potanin [aut, cre, ctb], Sofiia Dolgikh [ctb] |
| Maintainer | Bogdan Potanin <bogdanpotanin@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.2.1 |
| Package repository | View on CRAN |
| Installation |
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