Hello, I'm trying to use the pmvnorm function of the mvtnorm to compute the CDF of the multinormal distribution in rather high dimension (say 100, but 1000 would be nice). To accelerate the calculations I want to decrease the precision of the numerical integration, through the GenzBretz() argument of pmvnorm. A sample code: set.seed(8) Tvect <- rep(1,times=100) mat <- matrix(c(0.5),nrow=100,ncol=100) diag(mat) <- rep(1,times=100) pmvnorm(upper=Tvect,corr=mat,algorithm=GenzBretz(abseps=0.01)) My problem is that the arguments passed to GenzBretz() seem to have no effect on the precision of the calculation nor on its speed. I tryed to play with - maxpts - abseps - releps and the code above gives the same result, as if these arguments were ignored. Any ideas? Thanks for your help. -- View this message in context: http://r.789695.n4.nabble.com/mvtnorm-fast-computation-of-multinormal-cdf-tp4639053.html Sent from the R help mailing list archive at Nabble.com.