Description Details Licence Author(s) References

This package provides functions for computing the density and the distribution
function of multivariate normal and multivariate Student's *t* variates
and for generating random vectors sampled from these distributions.

Probabilities are computed via a non-Monte Carlo method. Different routines
are used in the three cases `d=1, d=2, d>2`

, if `d`

denotes the
number of dimensions.

This package and its documentation are usable under the terms of the “GNU General Public License” version 3 or version 2, as you prefer; a copy of them is available from http://www.R-project.org/Licenses/.

Adelchi Azzalini (R code and package creation) and Alan Genz (Fortran code, see references below; this includes routines of other authors)

Genz, A. (1992).
Numerical Computation of Multivariate Normal Probabilities.
*J. Computational and Graphical Statist.*, **1**, 141-149.

Genz, A. (1993). Comparison of methods for the computation of
multivariate normal probabilities.
*Computing Science and Statistics*, **25**, 400-405.

Genz, A.: Fortran code available at http://www.math.wsu.edu/math/faculty/genz/software/fort77/mvn.f

mnormt documentation built on May 30, 2017, 8:26 a.m.

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