mvprpb-package: mvprpb

In mvprpb: Orthant Probability of the Multivariate Normal Distribution

Description

Evaluation orthant probabilities of non-degenerate multivariate normal distribution based on orthogonal projections to subspaces.

Details

Package:	mvprpb
Type:	Package
Version:	1.0.4
Date:	2014-10-06
License:	BSD_3_clause License

This program evaluates the probabilites of multivariate distribution based on orthogonal projections to subspaces.

Author(s)

Noboru Nomura

Maintainer: Noboru Nomura <[e-mail]>

References

Nomura N. (2014). Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces. Statistics and Computing, Online First.

Examples

dim.p <- 8
mu   <- c( rep(- 0.5   , dim.p -1) , 3 )
cov  <-  diag( dim.p )  * 0.5 + 0.5
n.itr <- 800
integ.range <- 10
res.val <-  mvorpb( dim.p , mu , cov  ,n.itr , integ.range )
print(res.val)

Example output

[1] 0.03887031
attr(,"error-itg-rg")
[1] 9.030753e-49

mvprpb documentation built on May 2, 2019, 6:36 a.m.