This package provides functions for computing the density and the distribution function of multivariate normal and multivariate Student's t variates and for generating random vectors sampled from these distributions.
This package and its documentation are usable under the terms of the “GNU General Public License” version 3 or version 2, as you prefer; a copy of them is available from http://www.R-project.org/Licenses/.
Probabilities are computed via a non-Monte Carlo method. Different routines
are used in the three cases d=1, d=2, d>2, if d denotes the
number of dimensions.
Genz, A. (1992). Numerical Computation of Multivariate Normal Probabilities. J. Computational and Graphical Statist., 1, 141-149.
Genz, A. (1993). Comparison of methods for the computation of multivariate normal probabilities. Computing Science and Statistics, 25, 400-405.
Genz, A.: Fortran code available at http://www.math.wsu.edu/math/faculty/genz/software/fort77/mvn.f