mvgb-package

The QRVSN algorithm is used in a broader context: using the Genz and Bretz
(2002) algorithm to calculate multivariate distribution probabilities.

mvgb

Generates multivariate subgaussian stable probabilities using the QRSVN
algorithm as detailed in Genz and Bretz (2002) <DOI:10.1198/106186002394>
but by sampling positive stable variates not chi/sqrt(nu).

Bruce Swihart

Multivariate Probabilities of Scale Mixtures of Multivariate
Normal Distributions via the Genz and Bretz (2002) QRSVN Method

Alan Genz

mvgb function

<code>pmvss</code> -- multivariate subgaussian stable distribution probabilities

Multivariate Subgaussian Stable Distribution

Maintainer: Bruce Swihart <a href="/link/bruce.swihart%40gmail.com?package=mvgb&version=0.0.4" data-mini-rdoc="mvgb::bruce.swihart@gmail.com">bruce.swihart@gmail.com</a> (<a href="https://orcid.org/0000-0002-4216-9942">ORCID</a>)
Authors:<ul>
<li>Alan Genz (wrote mvtdstpack.f)</li>
</ul>

Author

Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions — mvgb

<code>pmvss</code> -- multivariate subgaussian stable distribution probabilities

Maintainer: Bruce Swihart <a href='mailto:bruce.swihart@gmail.com'>bruce.swihart@gmail.com</a> (<a href='https://orcid.org/0000-0002-4216-9942'>ORCID</a>)
Authors:<ul>
<li>Alan Genz (wrote mvtdstpack.f)</li>
</ul>

mvgb: Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions

Description

Arguments

Multivariate Subgaussian Stable Distribution

Author

See Also