The Multivariate Normal and t Distributions

Functions are provided for computing the density and the distribution function of multivariate normal and "t" random variables, and for generating random vectors sampled from these distributions. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d>2, if d denotes the number of dimensions.


News

2005-nov. : built private version. 2006-01-23: 1.0-0 first version uploaded on CRAN. 2006-04-26: 1.0-1 fixed a bug of non-compliance to R programming standards. 2006-10-09: 1.1-0 adopt amedend Fortran code of Alan Genz (subtroutine TRESTR). 2006-10-26: 1.2-0 fixed a bug in function rmt. 2007-03-16: 1.2-1 some amendments in documentation. 2008-06-12: 1.3-0 added Fortran code for the bivariate case; improved R coding. 2009-01-26: 1.3-2 minor modification to F77 code to avoid GOTO out of IF block. 2009-03-21: 1.3-3 removed check on the R version on request of the R Core team. 2009-11-25: 1.3-4 fixed a bug affecting the case d>2 & df=Inf. 2011-01-16: 1.4-0 pd.solve() introduced; argument 'mean' can now be a matrix for {d,p}mnorm and {d,p}mt. 2011-04-06: 1.4-1 fixed documentation; coding of dmnorm & dmt is straightened; log.det in pd.solve() is returned only on request. 2011-04-28: 1.4-2 fixed bug of biv.not.prob if some (lower=-Inf & upper=Inf). 2011-05-03: 1.4-3 fixed bug as above for sadmvn and sadmvt. 2012-01-06: 1.4-5 NAMESPACE introduced on request by the R Core Team. 2013-12-04: 1.4-7 .First.lib() removed on request from CRAN, other minor fixes. 2014-06-25: 1.5-0 improved coding of dmnorm and dmt functions (avoids 'apply'); allow calling pmnorm and pmt with a matrix argument 'x'. 2014-06-30: 1.5-1 fixes a bug of parameter checking in dmnorm and dmt 2015-04-02: 1.5-2 new argument 'sqrt' of dmnorm and dmt; limited check of the arguments is introduced (earlier skipped for speed); calls to rmt with a smaller/larger of 'n' generate a sub/superset of values. 2015-05-25: 1.5-3 rmt and rmnorm output with d=1 have now the same structure; improved checks on arguments supplied to dmnorm and dmt.
2016-03-08: 1.5-4 improved NAMESPACE and documentation; more flexible use of mean in {d,p,r}mnorm and {d,p,r}mt; pd.solve transfers dimnames(x) to output. 2016-10-15: 1.5-5 fix a bug in rmt

Reference manual

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