VeccTMVN

cranv1.3.2

Multivariate Normal Probabilities using Vecchia Approximation. Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapte

License GPL (>= 2)0 versions1 maintainers7 deps64 weekly dl
JCatwood/VeccTMVN
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First published · 2026-02-03 16:32:22

Last updated · 2026-02-03T14:40:02+00:00