[R] GHK simulator

From: Trenkler, Dietrich <dtrenkler_at_nts6.oec.uni-osnabrueck.de>
Date: Fri 16 Jul 2004 - 00:59:53 EST

Dear R-community,

not to re-invent the wheel I wonder if someone of you has ever written a function to compute the GHK smooth recursive simulator to estimate multivariate normal probabilities. See for instance page 194 of

  author = {William H. Greene},
  year = 1997,
  title = {Econometric Analysis},
  edition = {3rd},
  publisher = {Prentice-Hall},
  address = {New Jersey 07458}

Thank you.

Dietrich Trenkler

Dietrich Trenkler   Universität Osnabrück                                  
FB Wirtschaftswissenschaften           
Rolandstr.8              D-49069 Osnabrück


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Received on Fri Jul 16 01:02:19 2004

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