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}
}