Torsten.Hothorn at rzmail.uni-erlangen.de
Tue Nov 14 17:48:47 CET 2000
Multivariate Normal and T Distribution
mvtnorm implements two R functions for the computation of the multivariate t
and normal distribution:
pmvt: Computes the the distribution function of the multivariate t
distribution for arbitary limits, degrees of freedom and
correlation matrices based on algorithms by Genz and Bretz.
pmvnorm: Computes the distribution function of the multivariate normal
distribution for arbitary limits and correlation matrices based
on algorithms by Genz and Bretz.
mvtnorm is currently available in CRAN's devel section.
Genz, A. (1992). Numerical computation of multivariate normal
probabilities. Journal of Computational and Graphical Statistics,
Genz, A. (1993). Comparison of methods for the computation of
multivariate normal probabilities. Computing Science and
Statistics, 25, 400-405
Genz, A. and Bretz, F. (1999), Numerical computation of
multivariate t-probabilities with application to power calculation
of multiple contrasts. Journal of Statistical Computation and
Simulation, 63, 361-378.
Genz, A. and Bretz, F. (2001), Methods for the computation of
multivariate t-probabilities. (submitted)
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