tlrmvnmvt: Low-Rank Methods for MVN and MVT Probabilities

Implementation of the classic Genz algorithm and a novel tile-low-rank algorithm for computing relatively high-dimensional multivariate normal (MVN) and Student-t (MVT) probabilities. References used for this package: Foley, James, Andries van Dam, Steven Feiner, and John Hughes. "Computer Graphics: Principle and Practice". Addison-Wesley Publishing Company. Reading, Massachusetts (1987, ISBN:0-201-84840-6 1); Genz, A., "Numerical computation of multivariate normal probabilities," Journal of Computational and Graphical Statistics, 1, 141-149 (1992) <doi:10.1080/10618600.1992.10477010>; Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "Exploiting Low Rank Covariance Structures for Computing High-Dimensional Normal and Student- t Probabilities," Statistics and Computing, 31.1, 1-16 (2021) <doi:10.1007/s11222-020-09978-y>; Cao, J., Genton, M. G., Keyes, D. E., & Turkiyyah, G. M. "tlrmvnmvt: Computing High-Dimensional Multivariate Normal and Student-t Probabilities with Low-Rank Methods in R," Journal of Statistical Software, 101.4, 1-25 (2022) <doi:10.18637/jss.v101.i04>.

Version: 1.1.2
Depends: R (≥ 4.2.0)
Imports: Rcpp (≥ 1.0.8), methods (≥ 4.2.0)
LinkingTo: Rcpp (≥ 1.0.8), RcppEigen (≥, BH (≥
Suggests: mvtnorm (≥ 1.0.11)
Published: 2022-06-09
DOI: 10.32614/CRAN.package.tlrmvnmvt
Author: Marc Genton [aut], David Keyes [aut], George Turkiyyah [aut], Jian Cao [aut, cre]
Maintainer: Jian Cao <jian.cao at>
License: GPL-2
NeedsCompilation: yes
Citation: tlrmvnmvt citation info
Materials: README NEWS
CRAN checks: tlrmvnmvt results


Reference manual: tlrmvnmvt.pdf


Package source: tlrmvnmvt_1.1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): tlrmvnmvt_1.1.2.tgz, r-oldrel (arm64): tlrmvnmvt_1.1.2.tgz, r-release (x86_64): tlrmvnmvt_1.1.2.tgz, r-oldrel (x86_64): tlrmvnmvt_1.1.2.tgz
Old sources: tlrmvnmvt archive

Reverse dependencies:

Reverse imports: CensMFM, CensSpatial, MomTrunc


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