Hi Torsten,
Thanks for you comment.
If you have some free time to spare, partial derivatives with respect
to bounds and correlation coefficients would be great for pmvnorm! In
complex problems, optim is not very good at estimating the hessian
numerically and first order derivatives help to build
On Sun, 22 Nov 2009, Ravi Varadhan wrote:
Hi Torsten,
Hi Ravi,
It would be useful to "warn" the users that the multivariate normal probability
calculated by "pmvnorm" using the GenzBretz algorithm is "random", i.e.
the result can vary between repeated executions of the function.
only i
I'm now making some trials with sadmvn which provides results similar
to pmvnorm for optimization but I know compute my OPG estimator of the
covariance matrix with sadmvn (by the way Ravi, when I was refering to
"exist in theory" I was refering to the theory not to the computation
- would an approp
Hi Torsten,
It would be useful to "warn" the users that the multivariate normal probability
calculated by "pmvnorm" using the GenzBretz algorithm is "random", i.e. the
result can vary between repeated executions of the function. This would
prevent inappropriate use of pmvnorm such as computin
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