mvprpb-package: mvprpb

Description Details Author(s) References Examples

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 <[email protected]>

References

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

Examples

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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 29, 2017, 7:55 p.m.