[R] GHK simulator

Trenkler, Dietrich dtrenkler at nts6.oec.uni-osnabrueck.de
Thu Jul 15 16:59:53 CEST 2004

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

  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ät Osnabrück                                  
FB Wirtschaftswissenschaften           
Rolandstr.8              D-49069 Osnabrück

dtrenkler at nts6.oec.uni-osnabrueck.de

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