Multivariate Normal and t Distributions

Computes multivariate normal and t probabilities, quantiles, random deviates and densities.


News

Changes in version 1.0-5 (2016-02-02)

o improvements in quantile estimation

Changes in version 1.0-4 (2016-01-19)

o a new algorithm for quantile estimation, again. Quantiles are now computed by a stochastic root finding algorithm. Note that f.quantile in the output of qmv{t,norm} is now (again) the squared difference between the cdf evaluated at the quantile and the level. The \code{interval} argument to the quantile functions is used as a starting value for the root finder when available.

o clean-ups in C and R code and documentation

Changes in version 1.0-3 (2015-07-21)

o new algorithm for quantile estimation. Quantiles are now computed by minimising the squared distance between the distribution function and the probability whereas previous versions used uniroot(). The procedure is now performed multiple times with difference random seeds in order to stabilise the results. The \code{interval} argument to the quantile functions is IGNORED now.

Changes in version 1.0-2 (2014-12-16)

o start providing C interfaces to the underlying algorithms. mvtnorm_C_mvtdst() directly calls Alan's FORTRAN code and can be used in other packages via LinkingTo. See mvtnorm/inst/C_API_Example for an example very much inspired by the example provided in package xts.

o provide .C interfaces to the FORTRAN routines and allow switching on/off of R' RNG.

Changes in version 1.0-1 (2014-11-11)

o replace internal MVCHNV FORTRAN FUNCTION with R's sqrt(qchisq(p, n, FALSE, FALSE). This fixes a problem where NaN was returned as reported by David Charles Airey <airey_david_charles_at_lilly.com>

Changes in version 1.0-0 (2014-07-08)

o After 14 years, we now feel safe enough to publish mvtnorm 1.0-0. Many packages depend, import, or suggest mvtnorm, so this version change also indicates that the package is now stable and, to a very large extent, the API is frozen. We will of course continue to fix bugs or other problems but new features are unlikely to go into this package.

o use Authors@R in DESCRIPTION

o switch to standard NEWS format

Changes in version 0.9-99992 (2014-05-03)

o cleanups by MM

Changes in version 0.9-99991 (2014-04-25)

o version 0.9-9999 introduced new bug in dmvnorm

Changes in version 0.9-9999 (2014-04-17)

o dmvnorm (again) returns NaN in case sigma is not decomposable

Changes in version 0.9-9998 (2014-03-21)

o faster code for dmvnorm by Matteo Fasiolo

Changes in version 0.9-9997 (2014-01-17)

o T. Miwa fixed a runtime error in miwa.c reported by UB sanitizer

Changes in version 0.9-9996 (2013-09-16)

o documentation updates/corrections/examples by Marius Hofert

o df = Inf

o rmvt(): argument 'mean' not allowed anymore (prone to misuse)

o pmvnorm(lower=c(-Inf, 0, 0), upper=c(0, Inf, Inf), mean=c(0, 0, 0), sigma=S, algorithm = Miwa()) returned NaN, fixed by Xuefei Mi

Changes in version 0.9-9995 (2013-05-29)

o update to version 2013-06-29 of mvtdst.f from Alan's website (fixed a bug for 2-dim pmvt)

Changes in version 0.9-9994 (2012-12-06)

o set.seed(29) rmvnorm(10, ...)

 produces the same first ten rows as

 set.seed(29)
 rmvnorm(100, ...)

o as suggested by Paul Johnson <pauljohn_at_ku.edu>. There is a new argument pre0.9_9993 for changing back to the `old' output. This DOES NOT apply to rmvt.

Changes in version 0.9-9993 (2012-10-22)

o sigma is called `scale' matrix of {dpq}mvt, thanks to Richard Boys <Richard.Boys_at_ncl.ac.uk> for the hint

Changes in version 0.9-9992 (2012-01-19)

o qmvt(..., df = 0, ...) gave NaN

o R CMD check works on x64 with GCC 4.6.2 (Debian 4.6.2-11)

Changes in version 0.9-9991 (2011-06-10)

o tvpack wasn't working on 64bit machines. The reason was that the wrapper SUBROUTINEs around the original FUNCTIONs didn't return the appropriate double precision for unknown reasons. Redefining TVTL and BVTL as FUNCTIONs fixed the problem.

Changes in version 0.9-999 (2011-04-26)

o still problems in fix approx_interval (when !is.null(sigma)); disable for the time being

Changes in version 0.9-99 (2011-04-21)

o fix bug in approx_interval spotted by Ravi Varadhan <rvaradhan_at_jhmi.edu>

Changes in version 0.9-98 (2011-04-19)

o allow ... to pass arguments to rmvnorm in rmvt

Changes in version 0.9-97 (2011-01-31)

o use check.attributes = FALSE in isSymmetric calls (requested by Nick Sabbe <nick.sabbe_at_ugent.be>)

Changes in version 0.9-96 (2011-01-28)

o use fixed interval when sigma is specified in qmvt

Changes in version 0.9-95 (2010-11-18)

o q{mvt,mvnorm} shall always return a list, not a vector checks for correlation matrices are less picky now

Changes in version 0.9-94 (2010-11-16)

o allow for two different noncentral t distributions (via type argument)

o add support for one-dimensional quantiles (requested by Jerry Lewis <jerry.lewis_at_biogenidec.com>)

o documentation fixes for problems spotted by Jerry Lewis <jerry.lewis_at_biogenidec.com>

o interface to Alan's TVPACK algorithms for 2- and 3-d probabilities by Bjoern Bornkamp added.

Changes in version 0.9-92 (2010-07-06)

o update to new mvtdstpack.f (7/10) by Alan. Fixes potential bias problem in higher dimension.

Changes in version 0.9-91 (2010-04-13)

o better search interval for uniroot in qmv{t,norm} speeds up quantile estimation; suggestion by Björn Bornkamp <bornkamp_at_statistik.tu-dortmund.de>

Changes in version 0.9-9 (2010-01-27)

o document ... in pmvt.Rd

Changes in version 0.9-8 (2009-10-27)

o add citation entry

Changes in version 0.9-7 (2009-05-22)

o make sure `error' is not NA

Changes in version 0.9-6 (2009-03-25)

o update Alan's FORTRAN code

Changes in version 0.9-5 (2009-03-17)

o fix FORTRAN bug spotted by Alex Lenkoski <lenkoski_at_stat.washington.edu>

Changes in version 0.9-3 (2008-12-22)

o update meta data

Changes in version 0.9-2 (2008-07-08)

o be a little more liberal (tol = sqrt(.Machine$double.eps)) when testing for symmetry of covariance matrices (and make R CMD CHECK monomvn happy again)

Changes in version 0.9-1 (2008-07-02)

o better check for covariance matrices, suggested by James Rogers <James.A.Rogers_at_pfizer.com>

Changes in version 0.9-0 (2008-04-01)

o add support for the multivariate normal distributions in small dimensions by Miwa's method thanks to Tetsuhisa Miwa and Xuefei Mi; both have been added as `authors'.

o new argument algorithm' defaulting toGenzBretz()' with Miwa()' being the alternative. Those two functions are now used to specify hyper parameters such asabseps'.

o internal function `mvt' is no longer exported.

Changes in version 0.8-3 (2008-02-19)

o make sure rmvnorm(1, sigma = matrix(0.5, 1, 1)) works (reported by Kurt Hornik)

Changes in version 0.8-2 (2008-02-10)

o rmvnorm() now issues a warning for non-symmetric sigma and uses the eigenvalue decomposition as default.

o make gfortran 4.3 happy

Changes in version 0.8-1 (2007-07-24)

o Orion Poplawski <orion_at_cora.nwra.com> spotted a meaningless check in the regression tests

Changes in version 0.8-0 (2007-07-23)

o upgrade to 7/7 version of MVTDST (includes better support for dimensions > 100). Thanks to Karen Conneely <conneely_at_umich.edu> for motivating the update and for checking the new version.

o rmvnorm() now can also use a Cholesky decomposition to compute the root of sigma (thanks to Fabian Scheipl)

Changes in version 0.7-5 (2006-09-15)

o fix problem reported by valgrind

Changes in version 0.7-4 (2006-09-08)

o add long requested `dmvt'

o call RNG functions only one time

o make sure unifrnd is double precision

Changes in version 0.7-3 (2006-08-23)

o make sure pmvnorm(lo=c(-Inf,-Inf), up=c(Inf,Inf), mean=c(0,0) == 0

Changes in version 0.7-2 (2005-08-29)

o make gfortran happy (a warning about unused variable NF remains)

Changes in version 0.7-1 (2004-11-18)

o use #!/bin/sh

Changes in version 0.7-0 (2004-10-14)

o a coding session with Frank produced qmv{t,norm}'. try to check if the support specified bylower' and `upper' is empty (problem spotted by Peter Thomson <peter_at_statsresearch.co.nz>) Alan's fix prevents negative values to be returned.

o some cosmetics

Changes in version 0.6-8 (2004-06-03)

o EXIT statements are not supported by f2c', Alan added GOTO statements toMVCHNC'

Changes in version 0.6-7 (2004-05-27)

o Alan's fix to MVCHNC solves problems with large degree of freedom

Changes in version 0.6-6 (2004-01-22)

o La.eigen' is deprecated andeigen' replaces it in R-1.9.0

Changes in version 0.6-5 (2003-11-14)

o check if covariance matrix is pd in rmvnorm (by Fritz Leisch)

Changes in version 0.6-4 (2003-10-06)

o use new base function `cov2cor'

Changes in version 0.6-3 (2003-07-21)

o Alans changes were restricted to N <= 100, now N <= 1000 are possible again

Changes in version 0.6-2 (2003-06-25)

o Alan's recent changes to mvt.f' makeg77 -pedantic -Wall' happy

Changes in version 0.6-1 (2003-06-18)

o pmvt(..., df = 0, ...) will return normal probabilities for both the univariate and multvariate problem

Changes in version 0.6-0 (2003-06-17)

o Fortran code in mvt.f' updated to recent version by Alan and Frank. This fixes problems withpmvt' and large degrees of freedom.

Changes in version 0.5-15 (2003-06-16)

o a note on one-sided probabilities in `pmvt' correlation matrices in cats example a little bit nicer

Changes in version 0.5-14 (2003-05-06)

o the package owns a vignette based on the paper in RNews 1(2)

Changes in version 0.5-12 (2003-05-08)

o allow df=0 for pmvt

Changes in version 0.5-11 (2003-04-29)

o package npmc trys to use 'mvt' which is internal: export it anyway

Changes in version 0.5-10 (2003-04-23)

o mvtnorm is now in a NAMESPACE

Changes in version 0.5-9 (2003-02-13)

o log argument added to dmvnorm, thanks to Jerome Asselin <jerome_at_hivnet.ubc.ca>

Changes in version 0.5-8 (2003-01-21)

o fixed bugreport PR#2478: sigma for univariate probabilities

Changes in version 0.5-7 (2002-11-27)

o use R's random number generator in the FORTRAN code: set.seed has now has the desired impact.

Changes in version 0.5-6 (2002-10-07)

o rmvt added

Changes in version 0.5-5 (2002-07-03)

o use .Fortran(..., PACKAGE="mvtnorm")

Changes in version 0.5-4 (2002-04-09)

o correlation matrices for sigma with unequal variances incorrectly computed, added `sig2corr' for that propose, tol argument removed, fix by Alan to mvt.f

Changes in version 0.5-2 (2002-03-22)

o Frank added `tol' argument to MVTDST, now in mvtnorm

Changes in version 0.5-1 (2002-01-24)

o pmvt(0,1) works now

Changes in version 0.5-0 (2001-12-10)

o release for R-1.4.0

Changes in version 0.4-4 (2001-12-06)

o bugfix

Changes in version 0.4-3 (2001-12-05)

o the length of lower, upper and mean (delta) is now recycled to the length of the largest, i.e. it is possible to say pmvnorm(lower=-Inf, upper=1, mean=rep(1,10), corr=diag(10))

Changes in version 0.4-2 (2001-12-04)

o several typos, man-pages improved

Changes in version 0.4-1 (2001-12-04)

o interface changed: sigma (covariance matrix) can be specified as well

o {rd}mvnorm added from package e1071 (thanks to Fritz!)

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("mvtnorm")

1.0-6 by Torsten Hothorn, 9 months ago


http://mvtnorm.R-forge.R-project.org


Browse source code at https://github.com/cran/mvtnorm


Authors: Alan Genz [aut], Frank Bretz [aut], Tetsuhisa Miwa [aut], Xuefei Mi [aut], Friedrich Leisch [ctb], Fabian Scheipl [ctb], Bjoern Bornkamp [ctb], Martin Maechler [ctb], Torsten Hothorn [aut, cre]


Documentation:   PDF Manual  


Task views: Probability Distributions, Empirical Finance, Multivariate Statistics


GPL-2 license


Imports stats, methods


Imported by ADCT, ARCensReg, ASSISTant, BMhyb, BMhyd, BNPMIXcluster, BPEC, BSagri, BTYDplus, BalanceCheck, BayesCR, BayesComm, BayesFactor, BayesMAMS, BayesSingleSub, BayesSpec, BayesianTools, Bergm, BinOrdNonNor, Bolstad, CALIBERrfimpute, CCTpack, CDVine, CIAAWconsensus, CIDnetworks, CensMixReg, CensSpatial, ClusVis, ContaminatedMixt, CorReg, CorrBin, CorrToolBox, CosmoPhotoz, CovTools, DCA, DFIT, DLMtool, DNLC, DescTools, EAinference, EFAutilities, EMMIXskew, ETC, FMsmsnReg, FastGP, GBJ, GEint, GPGame, HDCI, HDtest, HWEBayes, ICSOutlier, IRTpp, Infusion, KGode, Kernelheaping, LANDD, LICORS, LINselect, MARSS, MBHdesign, MCPAN, MESS, MEclustnet, MSBVAR, MTS, Mediana, MitISEM, MixGHD, MsdeParEst, MultiMeta, NetworkChange, OHPL, OPDOE, PARSE, PIGShift, PhenotypeSimulator, PopED, Power2Stage, PowerTOST, QVM, RBesT, REndo, RHPCBenchmark, RNOmni, RPANDA, SPreFuGED, SQDA, SeleMix, SimComp, SimTimeVar, SmartSifter, SmoothHazard, SparseTSCGM, SurvDisc, TAM, TFisher, TPD, TTAinterfaceTrendAnalysis, VineCopula, aSPC, asbio, bairt, bamlss, bayesGARCH, bayesTFR, bcpmeta, bcrm, binMto, bindata, boolean3, bootnet, boral, bridgesampling, briskaR, bsam, carx, circular, clikcorr, clinfun, clustMD, clusteval, coin, conting, cope, copula, copulaedas, covsep, crawl, crmPack, csn, deBInfer, decisionSupport, denseFLMM, depth.plot, difconet, discSurv, eefAnalytics, ei, eiCompare, emmeans, endogenous, equSA, evolqg, fMultivar, factorMerger, fakeR, fdasrvf, flexsurv, fpc, freestats, fungible, funreg, fuzzyforest, gMCP, geiger, goric, graphicalVAR, growfunctions, gsg, gsrsb, gsynth, gyriq, hierarchicalDS, highfrequency, highriskzone, hmi, hmmm, httk, hypervolume, iDINGO, iMediate, ic.infer, icensBKL, ifa, imbalance, intamap, interAdapt, iopsych, iprior, joineRML, kernDeepStackNet, kernscr, ks, latentnet, libcoin, list, lmmen, lrgs, lsmeans, lvnet, marcher, matchMulti, matie, maxstat, mcprofile, merTools, metaBMA, metaSEM, metamisc, miceadds, micemd, miscF, misreport, missMDA, mistral, mixpack, mlVAR, momentuHMM, monomvn, mratios, msaenet, msm, multicon, multimark, multivator, mvst, nlmixr, nlsem, nonnest2, optismixture, palm, pamm, pcaPP, pez, pgee.mixed, phylometrics, plsRbeta, plsRglm, plsVarSel, pmhtutorial, polycor, pomp, protiq, qle, qrLMM, qrNLMM, ragt2ridges, random.polychor.pa, raptr, rase, rebmix, restriktor, rjmcmc, robustBLME, rospca, rpf, rpql, rrcov, sampleSelection, samplingDataCRT, scaleboot, scpm, sensitivity2x2xk, sgee, sharpr2, shinyKGode, shock, simPATHy, simexaft, sirt, sns, sortinghat, soundgen, sparsediscrim, sparsevar, spass, spikeSlabGAM, sppmix, spup, stepPenal, supcluster, tailDepFun, tglm, timeROC, treatSens, treeDA, tsbridge, tsxtreme, umx, uniReg, varComp, womblR.

Depended on by AdMit, AssocTests, AssotesteR, B2Z, BACprior, BAEssd, BAYSTAR, BNPTSclust, BayesPieceHazSelect, BayesPiecewiseICAR, BayesVarSel, Bayesianbetareg, Bayesthresh, BinNonNor, BinNor, Bmix, CAMAN, CDM, COMBAT, CPMCGLM, DMRMark, DoseFinding, DunnettTests, EMC, FAmle, FSTpackage, FactMixtAnalysis, ForImp, GGMridge, GGMselect, GLMaSPU, GLSME, GenForImp, GenOrd, HPbayes, ICS, ICSNP, IMIS, IndepTest, JPEN, LCAextend, LGEWIS, LSMonteCarlo, LogConcDEAD, MAMS, MCPMod, MIXFIM, MNS, MRsurv, MetSizeR, MetabolAnalyze, Modalclust, MultiGHQuad, MultiOrd, NegBinBetaBinreg, OptInterim, OrdNor, PAWL, PCMRS, PGEE, PairedData, PoisBinNonNor, PoisBinOrd, PoisBinOrdNor, PoisNor, QGglmm, QRM, R2GUESS, RAD, RidgeFusion, RxCEcolInf, SCRSELECT, SEMModComp, SNPassoc, SNPmaxsel, SSsimple, SamplerCompare, SemiParSampleSel, Stem, TAR, TTmoment, WACS, aSPU, adaptsmoFMRI, anMC, asd, bayeslongitudinal, bdots, bglm, bgmm, bgsmtr, bifactorial, bnormnlr, bpp, caper, condMVNorm, covmat, cudia, dawai, depend.truncation, distrEllipse, dmt, edrGraphicalTools, emulator, fExpressCertificates, faoutlier, fgof, freqdom, freqdom.fda, freqparcoord, genetics, glmm, growthrate, gset, hbim, hdrcde, hglasso, highmean, hsmm, imputeYn, kcirt, lava.tobit, lawstat, lmec, lmenssp, logcondiscr, mada, mc2d, mdhglm, mediation, mgarchBEKK, mhsmm, miscFuncs, mixlink, mixsmsn, mmcm, mombf, mpe, msma, multcomp, multinomRob, multxpert, muma, mutoss, mvProbit, mvSLOUCH, mvnTest, netgen, nicheROVER, nonmem2R, nparcomp, pGMGM, parallelMCMCcombine, party, phase1RMD, plgp, powerCompRisk, powerGWASinteraction, psbcGroup, qclust, qcr, rPowerSampleSize, radiant.design, reglogit, regtools, robustsae, rtip, rwc, samplesizelogisticcasecontrol, schwartz97, selectiongain, sgPLS, simboot, snipEM, sodavis, sp23design, spate, spatialTailDep, spatialnbda, spatialprobit, spfrontier, sscor, ssmrob, symmoments, tclust, texmex, tilting, tlmec, tmvtnorm, uskewFactors, wbsts, weightedScores, yuima.

Suggested by Anthropometry, BLModel, BNSP, CerioliOutlierDetection, DepthProc, DetMCD, DetR, EstimateGroupNetwork, FNN, FastHCS, FastPCS, FastRCS, HH, HSAUR, HSAUR2, HSAUR3, IPMpack, IPSUR, KSD, MCMCglmm, MNM, MVA, MfUSampler, NPC, OpenMx, POUMM, PortfolioOptim, QICD, R2Cuba, RandomFields, RcmdrPlugin.EZR, RcmdrPlugin.NMBU, RcppNumerical, SparseGrid, SuperGauss, WPKDE, acopula, aucm, bayesGDS, bivrp, bpkde, ccaPP, chngpt, colorspace, coxme, cubature, densratio, disp2D, docopulae, ecp, ensemblepp, fCopulae, flexmix, gamreg, gconcord, glmlep, gmm, greta, hda, hyperSpec, ipred, jocre, kyotil, laGP, longclust, mcglm, metafor, mistat, mvnfast, nsROC, partykit, pawls, pcalg, polyCub, prabclus, probout, pscl, qrmtools, robustHD, robustrank, robustvarComp, rodd, sBIC, sensitivity, simFrame, simcausal, simulator, snht, spTest, sparseLTSEigen, sparseMVN, sparsebn, sptm, stochvol, strucchange, stsm, threeboost, tlemix, vcd, xpose.

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