Yes. See the mvtnorm package on CRAN. It implements Genz's algorithm, the
fastest method in town. (I have a version I converted to S-PLUS as well, if
you, or anyone, might need it.)
Kevin
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Trenkler, Dietrich
Sent: Thursday, July 15, 2004 8:00 AM
To: 'r-help'
Subject: [R] GHK simulator
Dear R-community,
not to re-invent the wheel I wonder if someone of you
has ever written a function to compute the GHK smooth recursive
simulator to estimate multivariate normal probabilities. See for instance
page 194 of
@BOOK{Greene97,
author = {William H. Greene},
year = 1997,
title = {Econometric Analysis},
edition = {3rd},
publisher = {Prentice-Hall},
address = {New Jersey 07458}
}
Thank you.
Dietrich Trenkler
--
Dietrich Trenkler Universit??t Osnabr??ck
FB Wirtschaftswissenschaften
Rolandstr.8 D-49069 Osnabr??ck
dtrenkler at nts6.oec.uni-osnabrueck.de
______________________________________________
R-help at stat.math.ethz.ch mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html