VeccTMVN (version 1.3.1)

pmvt: Compute multivariate Student-t (MVT) probabilities that have spatial covariance matrices using Vecchia approximation

Description

Compute multivariate Student-t (MVT) probabilities that have spatial covariance matrices using Vecchia approximation

Usage

pmvt(
  lower,
  upper,
  delta,
  df,
  locs = NULL,
  covName = "matern15_isotropic",
  covParms = c(1, 0.1, 0),
  m = 30,
  sigma = NULL,
  reorder = 0,
  NLevel1 = 12,
  NLevel2 = 10000,
  verbose = FALSE,
  retlog = FALSE,
  ...
)

Value

estimated MVT probability and estimation error

Arguments

lower

lower bound vector for TMVT

upper

upper bound vector for TMVT

delta

MVT shifting parameter

df

degrees of freedom

locs

location (feature) matrix n X d

covName

covariance function name from the `GpGp` package

covParms

parameters for `covName`

m

Vecchia conditioning set size

sigma

dense covariance matrix, not needed when `locs` is not null

reorder

whether to reorder integration variables. `0` for no, `1` for FIC-based univariate ordering, `2` for Vecchia-based univariate ordering, and `3` for univariate reordering, which appeared faster than `2`

NLevel1

first level Monte Carlo sample size

NLevel2

second level Monte Carlo sample size

verbose

verbose or not

retlog

TRUE or FALSE for whether to return loglk or not

...

could be m_ord for conditioning set size for reordering