Multivariate Probabilities of Scale Mixtures of Multivariate Normal Distributions via the Genz and Bretz (2002) QRSVN Method

Generates multivariate subgaussian stable probabilities using the QRSVN algorithm as detailed in Genz and Bretz (2002) but by sampling positive stable variates not chi/sqrt(nu).


mvgb

Multivariate probabilities via the Genz and Bretz method

Reference manual

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install.packages("mvgb")

0.0.6 by Bruce Swihart, 2 years ago


https://github.com/swihart/mvgb


Report a bug at https://github.com/swihart/mvgb/issues


Browse source code at https://github.com/cran/mvgb


Authors: Alan Genz [aut] (wrote mvtdstpack.f) , Bruce Swihart [aut, cre]


Documentation:   PDF Manual  


LGPL (>= 2.1) license



See at CRAN