# pbivnorm v0.6.0

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## Vectorized Bivariate Normal CDF

Provides a vectorized R function for calculating
probabilities from a standard bivariate normal CDF.

## Readme

# Vectorized bivariate normal CDF

`pbivnorm`

is an R package containing a vectorized function to compute the
bivariate normal CDF. It is based on
the `mnormt`

package
by Adelchi Azzalini, which uses
Fortran code by Alan Genz to
compute integrals of multivariate normal densities.

A call to `pbivnorm()`

produces identical output to a corresponding set of
calls to `mnormt::pmnorm()`

, but at lower computational cost due to
vectorization (i.e., looping in Fortran rather than in R).

```
R> library("pbivnorm")
R> library("mnormt")
R> set.seed(9497)
R> x1 <- rnorm(10)
R> x2 <- rnorm(10)
R> X <- cbind(x1, x2)
R> all.equal(pbivnorm(X), apply(X, 1, pmnorm, mean = c(0, 0), varcov = diag(2)))
## [1] TRUE
R> library("microbenchmark")
R> microbenchmark(pbivnorm = pbivnorm(X),
mnormt = apply(X, 1, pmnorm, mean = c(0, 0), varcov = diag(2)))
## Unit: microseconds
## expr min lq median uq max neval
## pbivnorm 59.373 61.851 66.987 73.373 140.38 100
## mnormt 1052.671 1074.699 1091.472 1120.907 2283.88 100
```

## Functions in pbivnorm

Name | Description | |

pbivnorm | Standard bivariate normal CDF | |

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## Last month downloads

## Details

Date | 2015-01-23 |

License | GPL (>= 2) |

URL | https://github.com/brentonk/pbivnorm |

Packaged | 2015-01-23 14:46:13 UTC; brenton |

NeedsCompilation | yes |

Repository | CRAN |

Date/Publication | 2015-01-23 16:18:21 |

Contributors | Fortran by Alan Genz. R code by Brenton Kenkel |

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