mnormt: The Multivariate Normal and t Distributions

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Functions are provided for computing the density and the distribution function of multivariate normal and "t" random variables, and for generating random vectors sampled from these distributions. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d>2, if d denotes the number of dimensions.

Author
Fortran code by Alan Genz, R code by Adelchi Azzalini
Date of publication
2016-10-15 13:08:50
Maintainer
Adelchi Azzalini <adelchi.azzalini@unipd.it>
License
GPL-2 | GPL-3
Version
1.5-5
URLs

View on CRAN

Man pages

dmnorm
Multivariate normal distribution
dmt
Multivariate _t_ distribution
mnormt-package
The 'mnormt' package: summary information
pd.solve
Inverse of a symmetric positive-definite matrix

Files in this package

mnormt
mnormt/COPYING
mnormt/inst
mnormt/inst/CITATION
mnormt/src
mnormt/src/biv-nt.f
mnormt/src/sadmvnt.f
mnormt/NAMESPACE
mnormt/NEWS
mnormt/R
mnormt/R/mnormt.R
mnormt/MD5
mnormt/DESCRIPTION
mnormt/ChangeLog
mnormt/man
mnormt/man/mnormt-package.Rd
mnormt/man/dmt.Rd
mnormt/man/dmnorm.Rd
mnormt/man/pd.solve.Rd