Multivariate normal rectangle probability via mvtnorm

Thin extender over mvtnorm::pmvnorm that evaluates the multivariate normal CDF over a hyper-rectangle \([lower, upper]\).

Usage

morie_mvnorm_pmv(lower, upper, mean = rep(0, length(lower)), sigma, ...)

Arguments

lower

Numeric vector of lower integration limits (-Inf permitted).

upper

Numeric vector of upper integration limits (Inf permitted).

mean

Numeric mean vector of the same length as lower (defaults to a zero vector).

sigma

Numeric positive-(semi)definite covariance matrix.

...

Further arguments forwarded to mvtnorm::pmvnorm (e.g. corr, algorithm, keepAttr).

Value

A list with $method = "mvtnorm::pmvnorm" and $raw (a numeric scalar with the estimated probability and Monte-Carlo error attributes attached).

Examples

if (FALSE) { # \dontrun{
  if (requireNamespace("mvtnorm", quietly = TRUE)) {
    set.seed(1)
    S <- matrix(c(1, 0.4, 0.4, 1), 2, 2)
    morie_mvnorm_pmv(
      lower = c(-1, -1), upper = c(1, 1),
      mean = c(0, 0), sigma = S
    )
  }
} # }