[R] mutlivariate normal and t distributions

From: Adelchi Azzalini <azzalini_at_stat.unipd.it>
Date: Tue 24 Jan 2006 - 04:21:18 EST

Dear R-help list members,

I have created a package 'mnormt' with facilities for the multivariate normal and t distributions. The core part is simply an interface to Fortran routines by Alan Genz for computing the integral of two densities over rectangular regions, using an adaptive integration method. Other R functions compute densities and generate random numbers.

The starting motivation to write it was the need to have functions which compute the distribution functions in a non-Monte Carlo form, sinse this caused me problems when these probabilities are involved in a minimization problem. For this reason, I could not make use of the CRAN package 'mvtnorm'. Exactly to avoid superposition with the CRAN package, 'mnormt' is made available somehere else, in case other people want to use it. The package 'mnormt' is at


As explained, this is not uploaded to CRAN just to avoid clash with the existing package. However, if it is felt appropriate, I have no objection to upload it to CRAN.

Best wishes,

Adelchi Azzalini

Adelchi Azzalini  <azzalini@stat.unipd.it>
Dipart.Scienze Statistiche, UniversitÓ di Padova, Italia
tel. +39 049 8274147,  http://azzalini.stat.unipd.it/

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Received on Tue Jan 24 04:44:35 2006

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