Re: [R] mutlivariate normal and t distributions

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Tue 24 Jan 2006 - 05:31:42 EST

          Thanks for this. I got stuck some months ago, because I needed to evaluate a certain special normal tail region in at least 10,000 dimensional space, and "mvtnorm" could not give me adequate numerical precision above about 30 or 35 dimensions. When I get time to return to that project, I will be particularly interested in looking at your code.

          I would strongly encourage you to submit your package to CRAN. Otherwise it will be harder for people to learn about it and get it. If your package contains functions or other objects with the same names as objects in other packages, that fact could create a conflict, though not insurmountable. If you can make some effort to minimize the potential for name conflicts with other packages, that would be great. However, even without that, I prefer accessibility.

          Of course, from a user's perspective, it would be best if you and the 'mvtnorm' maintainer (Torsten Hothorn) could develop a consensus on the circumstances under which each algorithm is best and then develop a combined package that makes it easier for users to access the best known method -- and to easily switch between methods, when it may not be clear which is best. However, if you and Torsten don't have time & energy for that, I would still encourage you to submit your package to CRAN.

	  Best Wishes,
	  Spencer Graves

Adelchi Azzalini wrote:

> 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
> http://azzalini.stat.unipd.it/SN/Pkg-mnormt
>
> 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



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