[R] mutlivariate normal and t distributions

torsten@hothorn.de torsten at hothorn.de
Tue Jan 24 08:31:16 CET 2006

On Mon, 23 Jan 2006, Spencer Graves wrote:

> 	  Thanks for this.  I got stuck some months ago, because I needed to
> evaluate a certain special normal tail region in at least 10,000
> dimensional space, and "mvtnorm" could not give me adequate numerical
> precision above about 30 or 35 dimensions.  When I get time to return to
> that project, I will be particularly interested in looking at your code.
> 	  I would strongly encourage you to submit your package to CRAN.

yes, Adelchi, you should definitely submit the package to CRAN!

> Otherwise it will be harder for people to learn about it and get it.  If
> your package contains functions or other objects with the same names as
> objects in other packages, that fact could create a conflict, though not
> insurmountable.  If you can make some effort to minimize the potential
> for name conflicts with other packages, that would be great.  However,
> even without that, I prefer accessibility.
> 	  Of course, from a user's perspective, it would be best if you and the
> 'mvtnorm' maintainer (Torsten Hothorn) could develop a consensus on the
> circumstances under which each algorithm is best and then develop a
> combined package that makes it easier for users to access the best known
> method -- and to easily switch between methods, when it may not be clear
> which is best.  However, if you and Torsten don't have time & energy for
> that, I would still encourage you to submit your package to CRAN.

we already talked about such ideas but, for the time being, having two
packages should not be a big problem.



> 	  Best Wishes,
> 	  Spencer Graves
> Adelchi Azzalini wrote:
> > 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
> > numbers.
> >
> > 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
> >    http://azzalini.stat.unipd.it/SN/Pkg-mnormt
> >
> > 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

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