? proposed a numerical algorithm for evaluating multivariate normal probabilities. Starting with version 0.9-0 of the mvtnorm package (??), this algorithm is available to the R community. We give a brief introduction to Miwa’s procedure and compare it to a quasi-randomized Monte-Carlo procedure proposed by ?, which has been available through mvtnorm for some years now, both with respect to computing time and accuracy.
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For attribution, please cite this work as
Mi, et al., "The R Journal: New Numerical Algorithm for Multivariate Normal Probabilities in Package mvtnorm", The R Journal, 2009
BibTeX citation
@article{RJ-2009-001,
author = {Mi, Xuefei and Miwa, Tetsuhisa and Hothorn, Torsten},
title = {The R Journal: New Numerical Algorithm for Multivariate Normal Probabilities in Package mvtnorm},
journal = {The R Journal},
year = {2009},
note = {https://doi.org/10.32614/RJ-2009-001},
doi = {10.32614/RJ-2009-001},
volume = {1},
issue = {1},
issn = {2073-4859},
pages = {37-39}
}