mvtnorm: New numerical algorithm for multivariate normal probabilities

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Mi, X.; Miwa, T.; Hothorn, T.: mvtnorm: New numerical algorithm for multivariate normal probabilities. In: R Journal 1 (2009), Nr. 1, S. 37-39

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To cite the version in the repository, please use this identifier: https://doi.org/10.15488/3835

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Sum total of downloads: 139




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Abstract: 
Miwa et al. (2003) proposed a numerical algorithm for evaluating multivariate normal probabilities. Starting with version 0.9-0 of the mvtnorm package (Hothorn et al., 2001; Genz et al., 2008), this algorithm is available to the R community. We give a brief introduction to Miwa's procedure and compare it, with respect to computing time and accuracy, to a quasi-randomized Monte-Carlo procedure proposed by Genz and Bretz (1999), which has been available through mvtnorm for some years now. The new algorithm is applicable to problems with dimension smaller than 20, whereas the procedures by Genz and Bretz (1999) can be used to evaluate 1000-dimensional normal distributions. At the end of this article, a suggestion is given for choosing a suitable algorithm in different situations.
License of this version: CC BY 3.0 Unported
Document Type: article
Publishing status: publishedVersion
Issue Date: 2009
Appears in Collections:Naturwissenschaftliche Fakultät

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downloads by country:

pos. country downloads
total perc.
1 image of flag of Germany Germany 41 29.50%
2 image of flag of United States United States 33 23.74%
3 image of flag of China China 9 6.47%
4 image of flag of Japan Japan 7 5.04%
5 image of flag of Korea, Republic of Korea, Republic of 5 3.60%
6 image of flag of Brazil Brazil 4 2.88%
7 image of flag of Austria Austria 4 2.88%
8 image of flag of Netherlands Netherlands 3 2.16%
9 image of flag of United Kingdom United Kingdom 3 2.16%
10 image of flag of Canada Canada 3 2.16%
    other countries 27 19.42%

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