[R] Problem with Numerical derivatives (numDeriv) and mvtnorm

[SL]

Thanks for you comment.

There is certainly some "Monte Carlo sampling" involved in mvtnorm but
why derivatives could not be computed? In theory, the derivatives
exist (eg. bivariate probit). Moreover, when used with optim, there
are some numerical derivatives computed... does it mean that mvtnorm
cannot be used in an optimisation problem? I think it hard to believe.

One possibility would be to use the analytical derivatives and then a
do-it-yourself integration but i was looking for something a bit more
comprehensive. The mvtnorm package uses a specific way to compute
pmvnorm and I'm far to do a good enough job so that derivatives can
compare with what mvtnorm can do.

Stef