mvtnorm

Multivariate Normal and t Distributions

Computes multivariate normal and t probabilities, quantiles, random deviates, and densities. Log-likelihoods for multivariate Gaussian models and Gaussian copulae parameterised by Cholesky factors of covariance or precision matrices are implemented for interval-censored and exact data, or a mix thereof. Score functions for these log-likelihoods are available. A class representing multiple lower triangular matrices and corresponding methods are part of this package.

Tests Vignettes

Available Snapshots

This version of mvtnorm can be found in the following snapshots:

Dependencies

Imports/Depends/LinkingTo/Enhances (1)
  • R
  • Suggests (2)
  • qrng
  • numDeriv
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