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DESCRIPTION
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DESCRIPTION
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Package: approxcdf
Type: Package
Title: approxcdf
Version: 0.0.1
Authors@R: c(
person(given="David", family="Cortes", role=c("aut", "cre", "cph"),
email="david.cortes.rivera@gmail.com"),
person(given="Alan", family="Genz", role="cph",
comment="Copyright holder of original TVPACK library"),
person(given="Zvi", family="Drezner", role="cph",
comment="Copyright holder of original 2D and 3D fast CDF functions"),
person(given="Netlib", role="cph",
comment="Copyright holder of original Cephes library"),
person(given="SciPy", family="Developers", role="cph",
comment="Copyright holder of some univariate normal functions")
)
Maintainer: David Cortes <david.cortes.rivera@gmail.com>
URL: https://github.com/david-cortes/approxcdf
BugReports: https://github.com/david-cortes/approxcdf/issues
Description: Fast approximations for the cumulative distribution function (CDF) of the
multivariate normal (MVN) distribution, based on the two-variate bivariate screening (TVBS)
method from Bhat (2018) <doi:10.1016/j.trb.2018.01.011> for five and higher dimensions
with some small improvements such as employing the variable reordering technique from
Gibson, Glasbey, Elton (1994) <doi:10.1142/9789814533751>, matrix regularization, and others;
and based on the more exact methods from Plackett (1954) <doi:doi.org/10.2307/2332716>,
Gassmann (2003) <doi:10.1198/1061860032283>, Drezner, Wesolowsky (1990) <doi:10.1080/00949659008811236>,
Drezner (1994) <doi:10.1090/S0025-5718-1994-1185242-8>, Tsay, Ke (2021) <doi:10.1080/03610918.2021.1884718>,
and Genz (2004) <doi:10.1023/B:STCO.0000035304.20635.31> for four and lower dimensions.
Suggests: testthat, mvtnorm
License: BSD_3_clause + file LICENSE
RoxygenNote: 7.3.1
NeedsCompilation: yes