mvprpb (version 1.0.4)

mvprpb-package: mvprpb

Description

Evaluation orthant probabilities of non-degenerate multivariate normal distribution based on orthogonal projections to subspaces.

Details

Package:

mvprpb

Type:

Package

Version:

1.0.4

Date:

2014-10-06

License:

BSD_3_clause License

This program evaluates the probabilites of multivariate distribution based on orthogonal projections to subspaces.

References

Nomura N. (2014). Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces. Statistics and Computing, Online First.

Examples

dim.p <- 8
mu   <- c( rep(- 0.5   , dim.p -1) , 3 )
cov  <-  diag( dim.p )  * 0.5 + 0.5
n.itr <- 800
integ.range <- 10
res.val <-  mvorpb( dim.p , mu , cov  ,n.itr , integ.range )
print(res.val)