[R] mutlivariate normal and t distributions

Adelchi Azzalini azzalini at stat.unipd.it
Mon Jan 23 18:21:18 CET 2006

Dear R-help list members,

I have created a package 'mnormt' with facilities for the multivariate
normal and t distributions. The core part is simply an interface to
Fortran routines by Alan Genz for computing the integral of two
densities over rectangular regions, using an adaptive integration
method. Other R functions compute densities and generate random

The starting motivation to write it was the  need to have functions
which compute the distribution functions in a non-Monte Carlo form,
sinse this caused me problems when these probabilities are involved in
a minimization problem. For this reason, I could not make use of the
CRAN package 'mvtnorm'.  Exactly to avoid superposition with the CRAN
package, 'mnormt' is made available somehere else, in case other
people want to use it.  The package 'mnormt' is at 

As explained, this is not uploaded to CRAN just to avoid clash with
the existing package. However, if it is felt appropriate, I have no
objection to upload it to CRAN.

Best wishes,

Adelchi Azzalini
Adelchi Azzalini  <azzalini at stat.unipd.it>
Dipart.Scienze Statistiche, Università di Padova, Italia
tel. +39 049 8274147,  http://azzalini.stat.unipd.it/

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