Hi everyone, I was hoping for advice on approaches to accomplishing the following goal. I'd like to create an R package using Rcpp that calls the pmvnorm (cdf for multivariate normal) function from the mvtnorm library. I'd like to avoid calling it through R, as I need to do it many times, and I'd like to avoid the overhead in going between C++ and R.
The source code, written by Alan Genz, is in Fortran. I've also found on GitHub a C++ wrapped version of the Fortran code: https://github.com/zhanxw/libMvtnorm The latter includes a Makefile, which I don't know how to handle. To date, I've been working on packages using Rcpp and RcppArmadillo through RStudio. I'd appreciate any advice. Thanks, Scott
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