mvtnorm: Multivariate Normal and t Distributions

Computes multivariate normal and t probabilities, quantiles, random deviates, and densities. Log-likelihoods for multivariate Gaussian models and Gaussian copulae parameterised by Cholesky factors of covariance or precision matrices are implemented for interval-censored and exact data, or a mix thereof. Score functions for these log-likelihoods are available. A class representing multiple lower triangular matrices and corresponding methods are part of this package.

Version: 1.2-5
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: qrng, numDeriv
Published: 2024-05-21
Author: Alan Genz [aut], Frank Bretz [aut], Tetsuhisa Miwa [aut], Xuefei Mi [aut], Friedrich Leisch [ctb], Fabian Scheipl [ctb], Bjoern Bornkamp ORCID iD [ctb], Martin Maechler ORCID iD [ctb], Torsten Hothorn ORCID iD [aut, cre]
Maintainer: Torsten Hothorn <Torsten.Hothorn at R-project.org>
License: GPL-2
URL: http://mvtnorm.R-forge.R-project.org
NeedsCompilation: yes
Citation: mvtnorm citation info
Materials: NEWS
In views: Distributions, Finance
CRAN checks: mvtnorm results

Documentation:

Reference manual: mvtnorm.pdf
Vignettes: Using mvtnorm
Multivariate Normal Log-likelihoods

Downloads:

Package source: mvtnorm_1.2-5.tar.gz
Windows binaries: r-devel: mvtnorm_1.2-5.zip, r-release: mvtnorm_1.2-4.zip, r-oldrel: mvtnorm_1.2-5.zip
macOS binaries: r-release (arm64): mvtnorm_1.2-5.tgz, r-oldrel (arm64): mvtnorm_1.2-5.tgz, r-release (x86_64): mvtnorm_1.2-5.tgz, r-oldrel (x86_64): mvtnorm_1.2-5.tgz
Old sources: mvtnorm archive

Reverse dependencies:

Reverse depends: AdMit, AFheritability, AnaCoDa, anMC, asd, aSPU, AssocTests, BACprior, Bayesiangammareg, bayeslongitudinal, bayesmeta, BayesPieceHazSelect, BayesVarSel, BAYSTAR, bgmm, bgsmtr, BinNonNor, BinNor, BNPTSclust, bpp, BSPADATA, bulletcp, calibrator, CAMAN, caper, CDM, CGEN, COMBAT, CommonMean.Copula, condMVNorm, COST, covEB, CPMCGLM, dawai, depend.truncation, distrEllipse, DoseFinding, dotgen, eCV, EMMIXSSL, emulator, factorial2x2, FAmle, faoutlier, FPDclustering, freqdom, freqdom.fda, freqparcoord, FSTpackage, genetics, GenOrd, gfboost, GGMridge, GGMselect, GLMaSPU, glmm, GLSME, gmmsslm, growthrate, hbim, HCmodelSets, hglasso, hhsmm, highmean, holland, hsem, ICS, ICSNP, IndepTest, INPower, JPEN, LGEWIS, logcondiscr, LSMonteCarlo, mada, MAMS, MBCbook, mBvs, mc2d, MCPMod, MCPModPack, mdhglm, mediation, MetabolAnalyze, mgarchBEKK, mhsmm, miscFuncs, MIXFIM, mixsmsn, MNS, Modalclust, mombf, multcomp, multimix, MultiOrd, multxpert, mutoss, mvnTest, mvProbit, NegBinBetaBinreg, nparcomp, OptHoldoutSize, optimStrat, ordinalpattern, OrdNor, PairedData, parallelMCMCcombine, party, partykit, PCMRS, PGEE, phase1RMD, plgp, PoisBinNonNor, PoisBinOrd, PoisBinOrdNor, PoisNor, powerCompRisk, powerGWASinteraction, psbcGroup, qcr, QRM, randomizeR, reglogit, robustsae, rPowerSampleSize, rtip, rwc, samplesizelogisticcasecontrol, sasLM, sdetorus, selectiongain, sgPLS, simboot, SimDissolution, sodavis, SPARRAfairness, spate, spatialprobit, sRDA, sscor, SSsimple, symmoments, TAR, texmex, tilting, timedeppar, tmvtnorm, tram, uncertainty, uskewFactors, vagam, wbsts, weightedScores, yuima
Reverse imports: ablasso, abtest, AccelStab, adaptsmoFMRI, ADCT, agfh, AHMbook, alphastable, animalEKF, anipaths, AntMAN, apollo, approximator, ARCensReg, ARCokrig, asbio, ASICS, AssetCorr, ASSISTant, BalanceCheck, Ball, BAMBI, bamlss, banocc, bayesammi, BayesBEKK, BayesComm, BayesCR, BayesFactor, BayesFBHborrow, bayesGARCH, BayesianFactorZoo, BayesianTools, Bayesiantreg, bayesianVARs, BayesMFSurv, BayesMortalityPlus, BayesMultiMode, BayesRGMM, BayesSurvive, bayesTFR, BayesTools, bbmle, BCClong, BCDAG, bcrm, bdots, BElikelihood, Bergm, Bestie, BFpack, biClassify, bindata, BinGSD, binMto, BinOrdNonNor, binspp, BINtools, biomvRCNS, bipd, BLOQ, blrm, BMTAR, Bolstad, bootnet, bootPLS, boral, borrowr, bossR, bpgmm, BPRMeth, BRBVS, bridgesampling, BSagri, bsam, BSL, bspcov, bssn, BTYDplus, BVAR, cAIC4, CALIBERrfimpute, carfima, cases, cats, causalweight, CCTpack, cdcsis, CDGHMM, cemco, CenBAR, CensMFM, CensSpatial, chromstaR, CIAAWconsensus, circular, clikcorr, clinDR, clinfun, clustMD, ClusVis, coin, combinIT, CoMiRe, complex, CondMVT, confintROB, ConformalSmallest, ConfZIC, conogive, ConsensusClustering, ContaminatedMixt, cope, copula, copulaedas, copulaSim, CorrBin, corrDNA, CorrToolBox, coseq, CoSMoS, covsep, CovTools, CPBayes, cpss, crawl, crlmm, crmPack, csn, ctsem, CureAuxSP, cwot, cxr, cyclomort, cypress, DBpower, DCEM, DCEtool, deBInfer, decisionSupport, deepgmm, deepgp, DEGraph, DEM, denseFLMM, depth.plot, DescTools, DFIT, difconet, dirichletprocess, discSurv, DMRScan, DNLC, DoubleML, dppmix, drcSeedGerm, drugDemand, drugdevelopR, dvmisc, dwp, dyads, EAinference, eBsc, Ecfun, ecostats, ecostatscale, ecpc, eefAnalytics, EFAutilities, eGST, ei, emery, emmeans, EMSS, endogenous, erfe, escalation, ETC, eventPred, EventPredInCure, evolqg, evoTS, ExtremalDep, ExtremeRisks, fabMix, fastFMM, FastGP, fdaMocca, fdasrvf, fect, ffp, fic, finbipartite, fingraph, fitHeavyTail, fitODBOD, fitode, flevr, flexsurv, FlexVarJM, FLORAL, flps, FMsmsnReg, fMultivar, foreSIGHT, fssemR, funcharts, fungible, funreg, FuzzyClass, fuzzyforest, GBJ, GCPBayes, GDILM.SIR, geeCRT, geeVerse, geiger, GeneGeneInteR, GenEst, genscore, gerbil, getspanel, gexp, GFDmcv, GFDrmst, GFisher, gfiUltra, glmmfields, glmmPen, gMCP, gMCPLite, gmvjoint, goric, gorica, GPCMlasso, GPGame, graphicalExtremes, graphicalVAR, graphsim, graposas, gratis, GRelevance, GrFA, GroupSeq, grpseq, gsDesign2, gsMAMS, gsrsb, gsynth, GWEX, H2x2Factorial, HCTDesign, HDCI, hdpGLM, HeckmanEM, hettx, highriskzone, hmclearn, hmer, HMMextra0s, hmmm, HMMmlselect, httk, HydroPortailStats, hypervolume, ic.infer, icensBKL, ICSClust, ICSOutlier, ICtest, iDINGO, idopNetwork, imbalance, iMediate, IMIX, imputeFin, Infusion, INLAjoint, intamap, interflex, iopsych, iprior, IRR2FPR, isni, jage, joineRML, jtdm, Karen, kerDAA, Kernelheaping, kernscr, KGode, Kmedians, KrigInv, ks, L2DensityGoFtest, lamle, landsepi, LassoGEE, latentFactoR, latentnet, lavaSearch2, lawstat, LCAextend, lchemix, lcmm, LDATS, lessSEM, lg, libcoin, linpk, LINselect, list, LMest, LogConcDEAD, LongituRF, longke, LongMemoryTS, lpcde, lrgs, lrstat, lsasim, lsbclust, LSVAR, lvnet, MagmaClustR, marcher, MARSS, mashr, matchMulti, matrixNormal, maxcombo, maxstat, MBHdesign, MBSP, MCCM, MCPAN, mcprofile, MEclustnet, Mediana, MedianaDesigner, meerva, Melissa, MEPDF, merTools, MESS, metaBMA, metaConvert, metamisc, metaSEM, metaSurvival, mets, mHMMbayes, micemd, microbiomeDASim, mildsvm, MIRES, misaem, miscF, MissCP, missMDA, missMethods, missoNet, mistral, miWQS, mixAR, MixGHD, MixSemiRob, mixSPE, MixtureMissing, MJMbamlss, MKpower, MLEce, mlVAR, mmcm, mmmgee, moderate.mediation, modnets, modsem, momentuHMM, MomTrunc, monomvn, moodlequizR, motmot, MQMF, mratios, MRMCaov, msaenet, MSclust, msImpute, msm, MTS, mult.latent.reg, MultBiplotR, multibridge, MultiGroupO, multimark, multinomialLogitMix, multIntTestFunc, multipleOutcomes, MultiStatM, multivator, mvDFA, mvMAPIT, MVNBayesian, mvord, mvpd, mvSLOUCH, mvst, MVTests, NCutYX, NestMRMC, netcmc, nethet, NetOrigin, NetworkChange, networktree, nhm, nlmm, nlsem, nmarank, nonmem2R, nonnest2, nonparametric.bayes, norMmix, nph, nphPower, NRejections, NTW, NVCSSL, OBASpatial, oclust, OHPL, OPDOE, OptimalGoldstandardDesigns, otrimle, palm, pamm, pammtools, PanCanVarSel, pcaPP, pcFactorStan, PCMBase, petersenlab, pez, pgee.mixed, PH1XBAR, Phase12Compare, PhenotypeSimulator, phylometrics, phyr, pivmet, PlatformDesign, plsmmLasso, plsRbeta, plsRglm, plsVarSel, pmartR, PMCMRplus, pmhtutorial, pmwg, PoissonMultinomial, polycor, pomp, pooling, PopED, popPCR, porridge, posologyr, PosRatioDist, Power2Stage, powerly, powerPLS, PowerTOST, predtools, projpred, pRoloc, ProteoBayes, PRP, PRSPGx, psborrow, psborrow2, PTERP, ptmixed, PUMP, qape, QFASA, qpgraph, qrLMM, qrNLMM, QTLEMM, qtlpoly, QuadratiK, quantdr, radiant.design, random.polychor.pa, rankFD, rankinma, raptr, RBesT, RCBR, RcppCensSpatial, RCTrep, Rdrw, Rdta, ref.ICAR, REFA, refitME, regrap, regtools, remaCor, REndo, RepeatedHighDim, restriktor, RGMM, RHPCBenchmark, RISCA, riskPredictClustData, riskRegression, RJafroc, rjmcmc, RMBC, RNGforGPD, robflreg, RoBMA, RobRegression, robustBLME, rocbc, rospca, Rpadrino, RPANDA, rpf, rpql, RprobitB, rrcov, RRRR, rstpm2, SAGM, sahpm, sambia, SAMGEP, sampleSelection, samplingDataCRT, scaleboot, scDesign3, sdmTMB, sdPrior, sedproxy, seeds, segMGarch, SeleMix, SEMgraph, semicontMANOVA, sensitivity2x2xk, sensmediation, seqest, SeqNet, sgee, sGMRFmix, sharpr2, shinyKGode, shock, SightabilityModel, SimBIID, SimComp, SimCorrMix, simexaft, simpleMH, simplePHENOTYPES, simstandard, SimTimeVar, simtrial, simukde, sjSDM, skewlmm, skewMLRM, skipTrack, SlaPMEG, SLTCA, SMARTp, smicd, SmoothHazard, snem, SNPassoc, sns, SNSeg, sorocs, soundgen, sp23design, spANOVA, sparsediscrim, SparseTSCGM, sparsevar, spass, SpatGC, SpatialGEV, spBFA, spCP, sphet, spikeSlabGAM, SplitKnockoff, SPsimSeq, spup, squeezy, SSOSVM, stableGR, StempCens, stepPenal, strata.MaxCombo, StratifiedMedicine, submax, Superpower, SurrogateBMA, SurvDisc, survParamSim, survRM2adapt, svrep, swgee, SynDI, tailDepFun, TaylorRussell, tci, telefit, TensorClustering, testtwice, tf, TFisher, ThurMod, thurstonianIRT, timedelay, timeROC, TMixClust, TPD, tramME, treeDA, TrialEmulation, triggerstrategy, TSMSN, tsxtreme, TTAinterfaceTrendAnalysis, txshift, ui, umx, uniReg, UPCM, UtilityFrailtyPH12, VARDetect, variationalDCM, VARshrink, varTestnlme, vasicek, vasicekreg, vccp, vglmer, VineCopula, voi, WACS, weightedRank, windAC, womblR, wqspt, WRI, XDE, ZVCV
Reverse linking to: bayescopulareg, ClusVis, libcoin, MAMS, mets, MomTrunc, party, RoBMA
Reverse suggests: ACE.CoCo, acopula, Anthropometry, apsimx, aqp, bdsvd, bigutilsr, bivrp, BLModel, BNSP, brokenstick, BuyseTest, car, carSurv, causact, ccaPP, celltrackR, CerioliOutlierDetection, cheem, chngpt, CMA, cola, coloc, colorspace, CondCopulas, conformalInference.multi, corrcoverage, cotram, coxme, cubature, densratio, DepthProc, DetMCD, DetR, distillML, distributional, DLMtool, docopulae, dqrng, ecp, ElliptCopulas, EMMIXmfa, ensemblepp, epmrob, equalCovs, EstimateGroupNetwork, fairadapt, fastcpd, FastPCS, FastRCS, fCopulae, fgm, flexmix, fmcmc, FNN, fpc, frab, FusionLearn, GAGAs, gamreg, gcKrig, geex, GeneralizedWendland, GET, ggdist, gips, glmlep, gmm, GPFDA, GPvecchia, greta, gscounts, gsDesign, hda, hdm, hermiter, HH, highfrequency, horseshoenlm, hpa, HSAUR, HSAUR2, HSAUR3, hyperSpec, ipmr, ipred, jocre, KSD, kyotil, laGP, lmls, LMMstar, lnmCluster, lognorm, longclust, ltsspca, magi, MCMCglmm, mdw, metadat, metafor, mev, MfUSampler, mglasso, miloR, mixAK, MKinfer, mmcif, MNM, modeest, model4you, MOFA2, mplusParallel.automation, MSEtool, MSG, mstDIF, MVA, mvnfast, netmeta, newIMVC, nsROC, occupationMeasurement, OncoBayes2, OpenMx, OwenQ, palmtree, pcalg, PCGII, PCObw, pedmod, polyCub, PortfolioOptim, POUMM, prabclus, probout, pscl, psychmeta, psychonetrics, qfratio, qtl2pleio, rankCorr, rbmi, RcmdrPlugin.EZR, RcmdrPlugin.NMBU, RcppNumerical, regressinator, Rforestry, ridgetorus, roboBayes, robustHD, robustrank, robustvarComp, rockchalk, rodd, rr2, SAMtool, sBIC, scDIFtest, sensitivity, shapeNA, simcausal, simulator, sirt, SIRthresholded, skedastic, SparseGrid, sparseLTSEigen, sparseMVN, sphunif, ssmodels, ssmrob, stochvol, strucchange, strucchangeRcpp, SuperGauss, Surrogate, SWIM, TAM, thames, tlrmvnmvt, torch, tramnet, transreg, TruncatedNormal, ttScreening, unusualprofile, vcd, VeccTMVN, viking, WPKDE, wsyn, xpose
Reverse enhances: cornet, geostatsp, starnet

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