RE: [R] GHK simulator

From: Kevin Bartz <kbartz_at_loyaltymatrix.com>
Date: Fri 16 Jul 2004 - 03:06:05 EST


Yes. See the mvtnorm package on CRAN. It implements Genz's algorithm, the fastest method in town. (I have a version I converted to S-PLUS as well, if you, or anyone, might need it.)

Kevin

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Trenkler, Dietrich Sent: Thursday, July 15, 2004 8:00 AM
To: 'r-help'
Subject: [R] GHK simulator

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

@BOOK{Greene97,
  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

dtrenkler@nts6.oec.uni-osnabrueck.de


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Received on Fri Jul 16 03:31:18 2004

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