mvtnorm: Multivariate Normal and t Distributions
An add-on package to the R system for
statistical computing distributed
under the GPL-2 License
at the Comprehensive R Archive
Network
Description
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.
Introductory Texts
