Package: mvtnorm 1.5-0

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.

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]

mvtnorm_1.5-0.tar.gz
mvtnorm_1.5-0.zip(r-4.7-x86_64)mvtnorm_1.5-0.zip(r-4.7-arm64)mvtnorm_1.5-0.zip(r-4.6-x86_64)mvtnorm_1.5-0.zip(r-4.6-arm64)mvtnorm_1.5-0.zip(r-4.5-x86_64)
mvtnorm_1.5-0.tgz(r-4.6-x86_64)mvtnorm_1.5-0.tgz(r-4.6-arm64)mvtnorm_1.5-0.tgz(r-4.5-x86_64)mvtnorm_1.5-0.tgz(r-4.5-arm64)
mvtnorm_1.5-0.tar.gz(r-4.7-arm64)mvtnorm_1.5-0.tar.gz(r-4.7-x86_64)mvtnorm_1.5-0.tar.gz(r-4.6-arm64)mvtnorm_1.5-0.tar.gz(r-4.6-x86_64)
mvtnorm_1.5-0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
mvtnorm/json (API)

# Install 'mvtnorm' in R:
install.packages('mvtnorm', repos = c('https://thothorn.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://codeberg.org/thothorn/mvtnorm

Uses libs:
  • openblas– Optimized BLAS

On CRAN:

Conda:

openblasglibc

15.19 score 2.8k packages 17k scripts 361k downloads 67 mentions 62 exports 0 dependencies

Last updated from:5cd61f9fcb. Checks:13 OK, 2 WARNING. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK302
linux-devel-x86_64OK319
source / vignettesOK250
linux-release-arm64OK299
linux-release-x86_64OK278
macos-release-arm64OK208
macos-release-x86_64OK640
macos-oldrel-arm64OK172
macos-oldrel-x86_64OK600
windows-devel-arm64WARNING464
windows-devel-x86_64OK330
windows-release-arm64WARNING424
windows-release-x86_64OK224
windows-oldrel-x86_64OK235
wasm-releaseOK91

Exports:as.cholas.invcholas.ltMatricesas.syMatriceschol2corchol2covchol2invcholchol2pcchol2precond_mvnormcondDistcov2cholcov2invcholCrossprodDcholdepermadestandardizediagonalsdiagonals<-dmvnormdmvtGenzBretzinvcholinvchol2cholinvchol2corinvchol2covinvchol2pcinvchol2preinvcholDis.cholis.invcholis.ltMatricesis.syMatricesldmvnormldpmvnormlLgradlogdetLower_trilpmvnormlpRRltMatricesmarg_mvnormmargDistMiwaMultmvnormpermpmvnormpmvtqmvnormqmvtrmvnormrmvtsldmvnormsldpmvnormslpmvnormslpRRstandardizesyMatricesTcrossprodTVPACKvectrick

Dependencies:

Multivariate Normal Log-likelihoods in the mvtnorm Package
Introduction | Lower Triangular Matrices | Marginal and Conditional Normal Distributions | Multivariate Normal Log-likelihoods | Maximum-likelihood Example | Continuous-discrete Likelihoods | Unstructured Gaussian Copula Estimation | Joint Mean and Covariance Estimation | User Interface | Reduced Rank Covariance Matrices | Package Infrastructure
Rendered fromlmvnorm_src.Rnwusingutils::Sweave

Last update: 2026-08-11
Started: 2023-03-28

Using mvtnorm
Introduction | 1. A Simple Example | 2. Details | 3. Applications | References
Rendered fromMVT_Rnews.Rnwusingutils::Sweave

Last update: 2026-06-04
Started: 2013-09-04

Readme and manuals

Help Manual

Help pageTopics
Multivariate Normal and t Distributionsmvtnorm-package mvtnorm
Choice of Algorithm and Hyper ParametersGenzBretz Miwa TVPACK
User Interface to Multiple Multivariate Normal DistributionscondDist condDist.mvnorm lLgrad lLgrad.mvnorm logLik.mvnorm margDist margDist.mvnorm mvnorm perm.mvnorm simulate.mvnorm
Multivariate Normal Log-likelihood and Score Functionsldmvnorm ldpmvnorm lpmvnorm sldmvnorm sldpmvnorm slpmvnorm
Multivariate Normal Log-likelihood and Score Functions for Reduced Rank CovarianceslpRR slpRR
Multiple Lower Triangular or Symmetric Matricesadddiag as.array.ltMatrices as.array.syMatrices as.chol as.invchol as.ltMatrices as.ltMatrices.ltMatrices as.ltMatrices.syMatrices as.syMatrices chol.syMatrices chol2cor chol2cov chol2invchol chol2pc chol2pre cov2chol cov2invchol Crossprod crossprod.ltMatrices crossprod.syMatrices Dchol deperma destandardize diagonals diagonals.integer diagonals.ltMatrices diagonals.matrix diagonals.syMatrices diagonals<- diagonals<-.ltMatrices diagonals<-.syMatrices invchol invchol.syMatrices invchol2chol invchol2cor invchol2cov invchol2pc invchol2pre invcholD is.chol is.invchol is.ltMatrices is.syMatrices logdet Lower_tri ltMatrices Mult Mult.ltMatrices Mult.syMatrices perm perm.chol perm.invchol perm.ltMatrices perm.syMatrices solve.ltMatrices standardize syMatrices Tcrossprod tcrossprod.ltMatrices tcrossprod.syMatrices vectrick
Marginal and Conditional Multivariate Normal Distributionscond_mvnorm marg_mvnorm
Multivariate Normal Density and Random Deviatesdmvnorm rmvnorm
The Multivariate t Distributiondmvt rmvt
Multivariate Normal Distributionpmvnorm
Multivariate t Distributionpmvt
Quantiles of the Multivariate Normal Distributionqmvnorm
Quantiles of the Multivariate t Distributionqmvt