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