PGmvn: Compute the tail probability of the m-dim multivariate normal...

In baolinwu/MTAR: Various Multi-Trait Association tests in R

Description

Internal function. Not to be called directly.

Usage

PGmvn(lower = -Inf, upper = Inf, mean = NULL, sigma,
  Nsample = 10000, Ncov = 1)

Arguments

lower	the vector of lower limits of length m
upper	the vector of upper limits of length m
mean	the mean vector of length m
sigma	the covariance matrix of dimension m
Nsample	the number of Monte Carlo samples
Ncov	the number of control variates to be used (<=m).

Value

multivariate normal distribution probability of outside the specified box region.

References

Phinikettos,I. and Gandy,A. (2011) Fast computation of high-dimensional multivariate normal probabilities. Computational Statistics & Data Analysis. 55, 1521–1529.

Genz, A., Bretz, F., Miwa, T., Mi, X., Leisch, F., Scheipl, F., Bornkamp, B., Maechler, M., Hothorn, T. (2015) mvtnorm: Multivariate Normal and t Distributions. R package version 1.0-3. https://cran.r-project.org/web/packages/mvtnorm/index.html

baolinwu/MTAR documentation built on May 14, 2019, 6:03 a.m.