Package: VeccTMVN
Type: Package
Title: Multivariate Normal Probabilities using Vecchia Approximation
Version: 1.3.2
Date: 2026-01-26
Authors@R: 
  c(person("Jian Cao", role = c("aut", "cre"), email = "jcao2416@gmail.com"), 
    person("Matthias Katzfuss", role = "aut"))
Author: Jian Cao [aut, cre],
  Matthias Katzfuss [aut]
Maintainer: Jian Cao <jcao2416@gmail.com>
Description: Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities" <doi:10.48550/arXiv.2311.09426>. Two major references for the development of our method are Alan Genz (1992) "Numerical Computation of Multivariate Normal Probabilities" <doi:10.1080/10618600.1992.10477010> and Z. I. Botev (2017) "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting" <doi:10.48550/arXiv.1603.04166>.
License: GPL (>= 2)
Imports: Rcpp (>= 1.0.10), Matrix (>= 1.5-3), GpGp (>= 0.4.0),
        truncnorm (>= 1.0-8), GPvecchia, TruncatedNormal, nleqslv
Suggests: testthat (>= 3.0.0), lhs, mvtnorm
Config/testthat/edition: 3
LinkingTo: Rcpp, RcppArmadillo
URL: https://github.com/JCatwood/VeccTMVN
BugReports: https://github.com/JCatwood/VeccTMVN/issues
RoxygenNote: 7.3.2
Encoding: UTF-8
NeedsCompilation: yes
Packaged: 2026-02-03 15:22:14 UTC; jiancao
Repository: CRAN
Date/Publication: 2026-02-03 15:40:02 UTC
Built: R 4.6.0; aarch64-apple-darwin23; 2026-04-26 05:08:44 UTC; unix
Archs: VeccTMVN.so.dSYM
