New Numerical Algorithm for Multivariate Normal Probabilities in Package mvtnorm
Xuefei Mi, Tetsuhisa Miwa and Torsten Hothorn
, The R Journal (2009) 1:1, pages 37-39.
? proposed a numerical algorithm for evaluating multivariate normal probabilities. Starting with version 0.9-0 of the mvtnorm package (??), this algorithm is available to the R community. We give a brief introduction to Miwa’s procedure and compare it to a quasi-randomized Monte-Carlo procedure proposed by ?, which has been available through mvtnorm for some years now, both with respect to computing time and accuracy.
@article{RJ-2009-001, author = {Xuefei Mi and Tetsuhisa Miwa and Torsten Hothorn}, title = {{New Numerical Algorithm for Multivariate Normal Probabilities in Package mvtnorm}}, year = {2009}, journal = {{The R Journal}}, doi = {10.32614/RJ-2009-001}, url = {https://doi.org/10.32614/RJ-2009-001}, pages = {37--39}, volume = {1}, number = {1} }