NEWS file for the mvtnorm package

Changes in Version 1.3-2 (2024-11-04)

Features

• Explain and illustrate that omitting data dimensions produces marginal log-likelihoods in Chapter 7.

• Add low-level functionality for reduced rank covariances in new Chapter 8.

Bugfixes

• invcholD and Dchol avoided very small diagonals; now they also avoid very large diagonals (such that inverting the result doesn't give too small diagonals).

• Fix partial argument matches, reported by KH.

Changes in Version 1.3-1 (2024-09-02)

Bugfixes

• Challenging numeric test of score function at ML estimate failed on Mac M1.

Changes in Version 1.2-6 (2024-08-17)

Features

• Add logdet() function for computing log-determinants from lower triangular matrices.

• Speed up solve(<ltMatrices>, ...).

Bugfixes

• Avoid unnecessary copying of large data objects.

• -1/2 -> -1 for det(C) in lmvnorm_src vignette; spotted by Kurt Hornik

• Use M\_PI.

Changes in Version 1.2-5 (2024-05-18)

Features

• Update the Using mvtnorm package vignette and references therein.

• Speed up Mult(<ltMatrices>, transpose = TRUE).

• Speed up ldmvnorm().

• Add constructor syMatrices() for multiple symmetric matrices and as.syMatrices() for coercion from ltMatrices.

Bugfixes

• Fix segmentation fault or unnecessary error or warning + approximation for algorithm = Miwa() or TVPACK(), in case dimension reduction to one-dimensional is possible, e.g., for

    pmvnorm(lower = rep(-Inf,3), upper = c(-1, Inf, Inf),
            sigma = diag(3), algorithm = Miwa())
       # or
    pmvnorm(lower = c(-Inf,-Inf),
            upper = c(- 1,  Inf), sigma=diag(2), algorithm = TVPACK())
          

Changes in Version 1.2-4 (2023-11-27)

Bugfixes

• Remove empty print statement from miwa.c

Changes in Version 1.2-3 (2023-08-17)

Features

• Allow to change rnorm in rmvnorm, feature request by Ralf Stubner.

Bugfixes

• Fix variable declarations in tvpack.f as reported by Intel compilers icx/ipcx/ifx from oneAPI 2023.2.0 and oneMKL 2023.2.0, thanks to BDR

Changes in Version 1.2-2 (2023-06-07)

Bugfixes

• Fix overflow problem reported by ASAN.

Documentation

• Be even more careful inverting / computing Cholesky factors for hessians (M1 and macos-arm64).

Changes in Version 1.2-1 (2023-06-02)

Bugfixes

• Avoid attempts to allocate zero length arrays for one-dimensional problems.

Documentation

• Catch M1mac problems with inverting hessians.

Changes in Version 1.2-0 (2023-06-02)

• New lpmvnorm() function for computing multivariate normal log-likelihoods for interval-censored observations.

• New slpmvnorm() function for computing the corresponding score function for interval-censored observations.

• New ldmvnorm() function for computing multivariate normal log-likelihoods for exact observations.

• New sldmvnorm() function for computing the corresponding score function for exact observations.

• New ldpmvnorm() function for computing multivariate normal log-likelihoods for a mix of exact and interval-censored observations.

• New sldpmvnorm() function for computing the corresponding score function for a mix of exact and interval-censored observations.

• New class ltMatrices representing multiple lower triangular matrices, with some useful methods.

• New package vignette lmvnorm_src describing these new features.

• pmvnorm(), qmvnorm(), pmvt(), and qmvt() gain a seed argument.

• Regression tests were improved.

• Internal standardization is described better in the docs, suggested by Chris Wymant.

• New NEWS file, the old file containing information up to version 1.1-3 is available as NEWS.old.