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mvtnorm: Multivariate Normal and t Distributions

Computes multivariate normal and t probabilities, quantiles, random deviates, and densities. Log-likelihoods for multivariate Gaussian models and Gaussian copulae parameterised by Cholesky factors of covariance or precision matrices are implemented for interval-censored and exact data, or a mix thereof. Score functions for these log-likelihoods are available. A class representing multiple lower triangular matrices and corresponding methods are part of this package.

Version:1.3-3
Depends:R (≥ 3.5.0)
Imports:stats
Suggests:qrng,numDeriv
Published:2025-01-10
DOI:10.32614/CRAN.package.mvtnorm
Author:Alan Genz [aut], Frank Bretz [aut], Tetsuhisa Miwa [aut], Xuefei Mi [aut], Friedrich Leisch [ctb], Fabian Scheipl [ctb], Bjoern BornkampORCID iD [ctb], Martin MaechlerORCID iD [ctb], Torsten HothornORCID iD [aut, cre]
Maintainer:Torsten Hothorn <Torsten.Hothorn at R-project.org>
License:GPL-2
URL:http://mvtnorm.R-forge.R-project.org
NeedsCompilation:yes
Citation:mvtnorm citation info
Materials:NEWS
In views:Distributions,Finance
CRAN checks:mvtnorm results

Documentation:

Reference manual:mvtnorm.html ,mvtnorm.pdf
Vignettes:Using mvtnorm (source,R code)
Multivariate Normal Log-likelihoods in the mvtnorm Package (source,R code)

Downloads:

Package source: mvtnorm_1.3-3.tar.gz
Windows binaries: r-devel:mvtnorm_1.3-3.zip, r-release:mvtnorm_1.3-3.zip, r-oldrel:mvtnorm_1.3-3.zip
macOS binaries: r-release (arm64):mvtnorm_1.3-3.tgz, r-oldrel (arm64):mvtnorm_1.3-3.tgz, r-release (x86_64):mvtnorm_1.3-3.tgz, r-oldrel (x86_64):mvtnorm_1.3-3.tgz
Old sources: mvtnorm archive

Reverse dependencies:

Reverse depends:AdMit,AFheritability,AnaCoDa,anMC,asd,aSPU,BACprior,Bayesiangammareg,bayeslongitudinal,bayesmeta,BayesPieceHazSelect,BayesVarSel,BAYSTAR,bgmm,bgsmtr,BinNonNor,BinNor,BNPTSclust,bpp,BSPADATA,bulletcp,calibrator,caper,CDM,CGEN,COMBAT,CommonMean.Copula,condMVNorm,COST,covEB,CPMCGLM,CTxCC,dawai,depend.truncation,distrEllipse,dotgen,eCV,EMMIXSSL,emulator,factorial2x2,FAmle,faoutlier,FPDclustering,freqdom,freqparcoord,frequentistSSDBinary,FSTpackage,genetics,gfboost,GGMridge,GLMaSPU,glmm,GLSME,gmmsslm,growthrate,hbim,HCmodelSets,hhsmm,highmean,HMMcopula,holland,hsem,ICS,ICSNP,IndepTest,INPower,JPEN,LGEWIS,logcondiscr,LSMonteCarlo,mada,MAMS,MBCbook,mBvs,mc2d,MCPMod,MCPModPack,mdhglm,mediation,MetabolAnalyze,mgarchBEKK,mhsmm,miscFuncs,MIXFIM,mixsmsn,MNS,Modalclust,mombf,multcomp,multimix,MultiOrd,multxpert,mutoss,mvnTest,mvProbit,NegBinBetaBinreg,nparcomp,OptHoldoutSize,optimStrat,ordinalpattern,OrdNor,PairedData,parallelMCMCcombine,party,partykit,PCMRS,PGEE,phase1RMD,PHeval,plgp,PoisBinNonNor,PoisBinOrd,PoisBinOrdNor,PoisNor,powerCompRisk,powerGWASinteraction,psbcGroup,qcr,QRM,randomizeR,reglogit,rPowerSampleSize,rtip,rwc,samplesizelogisticcasecontrol,sasLM,sdetorus,selectiongain,SeleMix,sgPLS,simboot,SimDissolution,sodavis,spate,spatialprobit,sRDA,sscor,SSsimple,symmoments,TAR,texmex,tilting,timedeppar,tmvtnorm,tram,uncertainty,uskewFactors,vagam,wbsts,weightedScores,yuima
Reverse imports:ablasso,abms,abtest,adaptsmoFMRI,adass,ADCT,agfh,AHMbook,airship,ALLSPICER,alphastable,animalEKF,anipaths,apollo,approximator,ARCensReg,ARCokrig,asbio,ASICS,ASSISTant,ATE.ERROR,BalanceCheck,Ball,BAMBI,bamlss,BANAM,banditsCI,banocc,bayesammi,BayesBEKK,BayesCR,BayesFactor,BayesFBHborrow,bayesGARCH,BayesianTools,Bayesiantreg,bayesianVARs,BayesMFSurv,BayesMortalityPlus,BayesMultiMode,BayesPIM,BayesRegDTR,BayesRGMM,BayesSIM,BayesSurvive,bayesTFR,BayesTools,bbmle,BCClong,BCDAG,bcrm,bdots,BElikelihood,Bergm,Bestie,BFpack,bhetGP,biClassify,bindata,BinGSD,binMto,BinOrdNonNor,binspp,BINtools,biomvRCNS,bipd,BLA,BLOQ,blrm,BMEmapping,Bolstad,bootkmeans,bootnet,bootPLS,boral,borrowr,bossR,bpgmm,bridgesampling,BSagri,bsam,BSL,bspcov,BVAR,cAIC4,CALIBERrfimpute,cardinalR,carfima,cases,cats,causalweight,cdcsis,CDGHMM,cemco,CenBAR,CensMFM,censoredAIDS,CensRegSMSN,CensSpatial,CFM,choicedata,CIAAWconsensus,circular,clinDR,clinfun,ClusterVAR,clustMD,cogirt,cohetsurr,coin,combinIT,CoMiRe,CompMix,CondMVT,confintROB,ConformalSmallest,conogive,ConsensusClustering,ContaminatedMixt,copBasic,cope,copula,copulaSim,CorrBin,corrDNA,CorrToolBox,coseq,CoSMoS,covalchemy,covsep,CovTools,CPBayes,cpss,crawl,crlmm,crmPack,crt2power,csmGmm,csn,ctsem,cwot,cxr,cyclomort,cypress,DCEM,DCEtool,deBInfer,decisionSupport,deepgmm,deepgp,DEGraph,DEM,denseFLMM,depCensoring,depth.plot,DescTools,DFIT,DGP4LCF,difconet,dirichletprocess,DIRMR,discSurv,DMRScan,DNAmf,DoseFinding,DoubleML,dppmix,drcSeedGerm,drugDemand,drugdevelopR,dtlcor,dvmisc,dwp,dyads,eBsc,Ecfun,ecostats,ecostatscale,EEEA,eefAnalytics,EFAutilities,eGST,ei,EMC2,emery,emmeans,EMSS,endogenous,epts,equateMultiple,escalation,ETC,eventPred,EventPredInCure,evolqg,evoTS,ewp,exametrika,expertsurv,ExtremalDep,ExtremeRisks,fabMix,factorEx,factree,fastFMM,FastGP,fdaMocca,fdasrvf,fdesigns,fect,ffp,fic,fitHeavyTail,fitODBOD,flevr,flexord,flexsurv,FlexVarJM,FLORAL,flps,FMsmsnReg,fMultivar,foreSIGHT,fssemR,fungible,funreg,FuzzyClass,fuzzyforest,FuzzySpec,GBJ,GCPBayes,GDILM.ME,GDILM.SEIRS,GDILM.SIR,geeCRT,geeVerse,geiger,GEint,GenEst,GenOrd,genscore,gerbil,getspanel,gexp,GFDmcv,GFDrmst,GFDrmtl,GFisher,gfiUltra,glmmfields,glmmPen,gMCP,gMCPLite,gmvjoint,goric,GPCMlasso,GPEMR,GPGame,GRAB,graphicalEvidence,graphicalExtremes,graphicalMCP,graphicalVAR,graphsim,graposas,gratis,GRelevance,GrFA,GroupSeq,grpseq,gsDesign2,gsMAMS,gsrsb,GWEX,H2x2Factorial,HCTDesign,hdbayes,HDCI,hdpGLM,HeckmanEM,HeckmanStan,heterocop,hettx,highriskzone,hmclearn,hmer,HMMextra0s,hmmm,HMMmlselect,HonestDiD,httk,HydroPortailStats,hypervolume,ic.infer,iccCompare,icensBKL,iClusterVB,ICSClust,ICSOutlier,ICtest,iDINGO,idopNetwork,imbalance,iMediate,IMIX,imputeFin,informativeSCI,Infusion,intamap,interflex,iopsych,iprior,IRR2FPR,isni,itrimhoch,IVPP,jage,joineRML,jtdm,Karen,kerDAA,Kernelheaping,kernscr,KGode,Kmedians,KrigInv,ks,L2DensityGoFtest,lamle,landsepi,LassoGEE,latent2likert,latentFactoR,latentnet,lavaSearch2,lawstat,LCAextend,lchemix,lcmm,LDATS,lessSEM,lg,libcoin,linpk,LINselect,list,LMest,LogConcDEAD,LongituRF,longke,lpcde,lrgs,lrstat,lsasim,LSVAR,lvnet,MagmaClustR,marcher,MARSS,mashr,matchMulti,matrixNormal,MatTransMix,maxcombo,maxstat,MBHdesign,MBSP,MCCM,MCPAN,MCPModGeneral,mcprofile,MD2sample,MEclustnet,Mediana,MedianaDesigner,meerva,MEPDF,merTools,MESS,metaBMA,metaConvert,metamisc,metaSEM,metaSurvival,mets,mHMMbayes,micemd,microbiomeDASim,mildsvm,MIRES,misaem,miscF,MissCP,missMDA,missMethods,missoNet,mist,mistral,mixAR,MixGHD,mixSPE,MixtureMissing,MJMbamlss,MKpower,MLEce,mlt,mlts,mlVAR,mmcm,mmmgee,modelSelection,moderate.mediation,modnets,modsem,momentuHMM,MomTrunc,monomvn,moodlequizR,motmot,MQMF,mratios,MRMCaov,msaenet,MSclust,msImpute,MSIMST,msm,mtarm,MTS,MUGS,mult.latent.reg,MultBiplotR,multibridge,MultiGroupO,multimark,multimediate,MultiNMix,multinomialLogitMix,multIntTestFunc,MultiRFM,MultiStatM,multivator,mvDFA,mvMAPIT,MVNBayesian,mvord,mvpd,mvSLOUCH,mvst,MVTests,NCutYX,NestMRMC,nethet,netmeta,NetOrigin,NetworkChange,networktree,nhm,nlmm,nlsem,nmarank,nondetects,nonmem2R,nonnest2,nonparametric.bayes,norMmix,nph,nphPower,NPP,NRejections,NTW,NVCSSL,OBASpatial,oclust,OHPL,OPDOE,OPSR,otrimle,outlierMBC,palm,pamm,pammtools,PanCanVarSel,parTimeROC,pcaPP,pcFactorStan,PCMBase,pedtricks,PEPBVS,petersenlab,pez,pgee.mixed,PH1XBAR,Phase12Compare,PhenotypeSimulator,phylometrics,phyr,pivmet,PlatformDesign,pleioh2g,plsmmLasso,plsRbeta,plsRglm,plsVarSel,pmartR,PMCMRplus,pmhtutorial,pmwg,PND.heter.cluster,PoissonMultinomial,polycor,Polytect,pomp,PopED,popPCR,porridge,posologyr,PosRatioDist,Power2Stage,powerly,powerNLSEM,powerPLS,powertools,PowerTOST,predtools,projpred,pRoloc,ProteoBayes,PRP,psborrow,psborrow2,psc,PSPI,PTERP,ptmixed,PUMP,pwrFDR,qape,qbrms,QFASA,qpgraph,qrLMM,qrNLMM,QTLEMM,QuadratiK,quantdr,radiant.design,random.polychor.pa,rankFD,rankinma,raptr,RBaM,RBesT,RCBR,RCTrep,Rdrw,Rdta,ref.ICAR,refitME,RegionalConsistency,regrap,regtools,remaCor,REndo,RepeatedHighDim,restriktor,RGMM,RHPCBenchmark,RISCA,riskPredictClustData,riskRegression,RJafroc,Rnest,RNGforGPD,robcat,robcp,robflreg,RoBMA,RobRegression,robustBLME,rocbc,rospca,Rpadrino,rpf,rpql,rrcov,RRRR,RSDC,rstpm2,S4DM,SAGM,sahpm,sambia,SAMGEP,sampleSelection,samplingDataCRT,scDesign3,scov,sdmTMB,sdPrior,SeasEpi,secr,sedproxy,segMGarch,SEMgraph,semicontMANOVA,sensitivity2x2xk,sensmediation,sgee,sGMRFmix,sharpr2,shinyKGode,shrinkem,shrinkTVPVAR,SightabilityModel,SimBIID,SimComp,SimCorrMix,simdata,simpleMH,simplePHENOTYPES,simstandard,SimTimeVar,simtrial,simukde,sjSDM,skewMLRM,skipTrack,SLTCA,SMARTp,smicd,smile,SMNlmec,SmoothHazard,snem,SNPassoc,sns,SNSeg,sorocs,soundgen,sp23design,spagmix,spANOVA,SPARRAfairness,sparsediscrim,sparselink,spass,SpatGC,SpatialGEV,spBFA,spCP,sphet,spikeSlabGAM,SplitKnockoff,SPsimSeq,spup,SSLfmm,SSOSVM,ssutil,stableGR,statGraph,StempCens,stepPenal,strata.MaxCombo,StratifiedMedicine,sts,submax,SurrogateBMA,SurvDisc,survParamSim,survRM2adapt,svrep,swgee,SynDI,tailDepFun,TaylorRussell,tci,telescope,TensorClustering,testtwice,tf,TFisher,TFORGE,thamesmix,ThurMod,thurstonianIRT,timedelay,timeROC,TMixClust,TPD,tramME,tramvs,transDA,treeDA,TrialEmulation,TrialSimulator,triggerstrategy,TSMSN,tssim,tsxtreme,TTAinterfaceTrendAnalysis,twoCoprimary,txshift,ui,umx,uniReg,UPCM,variationalDCM,VARshrink,varTestnlme,vasicek,vasicekreg,vccp,vglmer,VineCopula,voi,WACS,weightedRank,windAC,womblR,wqspt,WRI,XDE,xtdml,ZVCV
Reverse linking to:bayescopulareg,libcoin,MAMS,mets,MomTrunc,oeli,party,pumBayes,RoBMA
Reverse suggests:ACE.CoCo,acopula,Anthropometry,apsimx,aqp,archetypes,bdsvd,beastt,bigPLScox,bigutilsr,bivrp,BLModel,BNSP,brokenstick,BuyseTest,car,carSurv,causact,ccaPP,celltrackR,CerioliOutlierDetection,cheem,chngpt,clusterGGM,clustTMB,CMA,cola,coloc,colorspace,CondCopulas,conformalInference.multi,cornet,cotram,coxme,CSTE,cubature,DataSimilarity,decorrelate,densratio,DepthProc,DetMCD,distributional,DLMtool,docopulae,dqrng,ecp,ElliptCopulas,EMMIXmfa,ensemblepp,epmrob,equalCovs,EstimateGroupNetwork,evitaicossa,fabletools,fairadapt,fastcpd,FastPCS,FastRCS,FBMS,fCopulae,flexIC,flexmix,fmcmc,FNN,fpc,frab,FusionLearn,fwb,GAGAs,gamreg,gcKrig,geex,GeneralizedWendland,GET,ggdist,gicf,gips,glmlep,gmm,GPFDA,GPvecchia,gscounts,gsDesign,hda,hdm,hermiter,HH,highfrequency,HOIFCar,horseshoenlm,hpa,HSAUR,HSAUR2,HSAUR3,hyperSpec,insight,ipmr,ipred,IVCor,jocre,KSD,kyotil,laGP,lionfish,lmls,LMMstar,lnmCluster,lognorm,longclust,ltsspca,magi,marginaleffects,mcmcensemble,MCMCglmm,mdw,metadat,metafor,mev,MfUSampler,mglasso,miloR,mixAK,MKinfer,MNM,modeest,modelbased,ModStatR,MOFA2,mplusParallel.automation,MSEtool,MSG,mstDIF,multipleOutcomes,MVA,mvnfast,newIMVC,nsROC,nvmix,occupationMeasurement,OncoBayes2,OpenMx,OwenQ,palmtree,parameters,pcalg,PCGII,PCObw,polyCub,PortfolioOptim,poth,POUMM,prabclus,probout,pscl,psychmeta,psychonetrics,qfratio,qtl2pleio,rankCorr,RcmdrPlugin.EZR,RcmdrPlugin.NMBU,RcppNumerical,regressinator,Rforestry,ridgetorus,RIIM,roboBayes,robustHD,robustrank,robustvarComp,rockchalk,rodd,rr2,RTMBdist,samplr,SAMtool,sBIC,scDIFtest,sensitivity,shapeNA,simcausal,simulator,sirt,SIRthresholded,skedastic,SparseGrid,sparseLTSEigen,sparseMVN,sphunif,ssmodels,ssmrob,starnet,stochvol,strucchange,strucchangeRcpp,SuperGauss,Surrogate,SWIM,TAM,thames,tinyVAST,tlrmvnmvt,torch,tramnet,transreg,TruncatedNormal,ttScreening,unusualprofile,VBel,vcd,VeccTMVN,VecDep,viking,VizTest,wstdiff,wsyn,xpose,zenplots
Reverse enhances:cmvnorm,geostatsp

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