search for: genzbrentz

...rent algorithms, Miwa and GenzBretz using the code below: pmvnorm( mean = rep(0, 3), lower = rep(-Inf, 3), upper = rep(0, 3), sigma = A, algorithm = 'Miwa' )[1] The results are as expected, except when using matrix A with the Miwa algorithm. Matrix Miwa GenzBrentz -------------------------------------- A -10.766 0.041 B 0.041 0.041 -------------------------------------- Further investigation indicates that it is the values in locations (1,3) and (3,1) which are causing the issues; any values in the range (5*10^-7, 5*10^-9) and (-5*10^-9, -5*10^-7) giv...

...> pmvnorm( > mean = rep(0, 3), > lower = rep(-Inf, 3), > upper = rep(0, 3), > sigma = A, > algorithm = 'Miwa' > )[1] > > The results are as expected, except when using matrix A with the Miwa > algorithm. > > Matrix Miwa GenzBrentz > -------------------------------------- > A -10.766 0.041 > B 0.041 0.041 > -------------------------------------- > > Further investigation indicates that it is the values in locations (1,3) > and (3,1) which are causing the issues; any values in the range (5*10^-7, &gt...

...; upper = rep(0, 3), > > > sigma = A, > > > algorithm = 'Miwa' > > > )[1] > > > > > > The results are as expected, except when using matrix A with the Miwa > > > algorithm. > > > > > > Matrix Miwa GenzBrentz > > > -------------------------------------- > > > A -10.766 0.041 > > > B 0.041 0.041 > > > -------------------------------------- > > > > > > Further investigation indicates that it is the values in locations > (1,3) > > > an...

...gt; lower = rep(-Inf, 3), > > upper = rep(0, 3), > > sigma = A, > > algorithm = 'Miwa' > > )[1] > > > > The results are as expected, except when using matrix A with the Miwa > > algorithm. > > > > Matrix Miwa GenzBrentz > > -------------------------------------- > > A -10.766 0.041 > > B 0.041 0.041 > > -------------------------------------- > > > > Further investigation indicates that it is the values in locations (1,3) > > and (3,1) which are causing the issues; an...