New Numerical Algorithm for Multivariate Normal Probabilities in Package mvtnorm
نویسندگان
چکیده
منابع مشابه
Numerical Computation of Multivariate Normal Probabilities
The numerical computation of a multivariate normal probability is often a diicult problem. This article describes a transformation that simpliies the problem and places it into a form that allows eecient calculation using standard numerical multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation, with currently avail...
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15 صفحه اولParallel Computation of Multivariate Normal Probabilities
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Abstract In this article we present tmvtnorm, an R package implementation for the truncated multivariate normal distribution. We consider random number generation with rejection and Gibbs sampling, computation of marginal densities as well as computation of the mean and covariance of the truncated variables. This contribution brings together latest research in this field and provides useful met...
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ژورنال
عنوان ژورنال: The R Journal
سال: 2009
ISSN: 2073-4859
DOI: 10.32614/rj-2009-001