VeccTMVN: Multivariate Normal Probabilities using Vecchia Approximation

Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities" <doi:10.48550/arXiv.2311.09426>. Two major references for the development of our method are Alan Genz (1992) "Numerical Computation of Multivariate Normal Probabilities" <doi:10.1080/10618600.1992.10477010> and Z. I. Botev (2017) "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting" <doi:10.48550/arXiv.1603.04166>.

Version:	1.3.2
Imports:	Rcpp (≥ 1.0.10), Matrix (≥ 1.5-3), GpGp (≥ 0.4.0), truncnorm (≥ 1.0-8), GPvecchia, TruncatedNormal, nleqslv
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	testthat (≥ 3.0.0), lhs, mvtnorm
Published:	2026-02-03
DOI:	10.32614/CRAN.package.VeccTMVN
Author:	Jian Cao [aut, cre], Matthias Katzfuss [aut]
Maintainer:	Jian Cao <jcao2416 at gmail.com>
BugReports:	https://github.com/JCatwood/VeccTMVN/issues
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/JCatwood/VeccTMVN
NeedsCompilation:	yes
Materials:	NEWS
CRAN checks:	VeccTMVN results

Documentation:

Reference manual:

VeccTMVN.html , VeccTMVN.pdf

Downloads:

Package source:	VeccTMVN_1.3.2.tar.gz
Windows binaries:	r-devel: VeccTMVN_1.3.2.zip, r-release: VeccTMVN_1.3.2.zip, r-oldrel: VeccTMVN_1.3.2.zip
macOS binaries:	r-release (arm64): VeccTMVN_1.3.2.tgz, r-oldrel (arm64): VeccTMVN_1.3.2.tgz, r-release (x86_64): VeccTMVN_1.3.2.tgz, r-oldrel (x86_64): VeccTMVN_1.3.2.tgz
Old sources:	VeccTMVN archive

Reverse dependencies:

Reverse suggests:

gctsc

Linking:

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