[R] Re: mvtnorm

[Vadim Kutsyy]

Hello.

I have a small question.  For computing normal CDF you are using 
"mvtdst" wouldn't be use of "mvnpack" be more efficient?

Thanks.

Vadim Kutsyy
vadim at kutsyy.com
htpp://www.kutsyy.com


Torsten Hothorn wrote:

> 
> Announcement: mvtnorm
> 
> 	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. 
> 
> Literature: 
> 
> Genz, A. (1992). Numerical computation of multivariate normal
> probabilities. Journal of Computational and Graphical Statistics,
> 1, 141-150 
> 
> 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)
> 
> Bests, 
> 
> Torsten
> 
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