Multivariate normal rectangle probability via mvtnorm — morie_mvnorm_pmv • rmorie

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

# \donttest{
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
  )
}
#> $method
#> [1] "mvtnorm::pmvnorm"
#> 
#> $raw
#> [1] 0.4858496
#> attr(,"error")
#> [1] 1e-15
#> attr(,"msg")
#> [1] "Normal Completion"
#> 
# }