[R] GHK simulator

Kevin Bartz kbartz at loyaltymatrix.com
Thu Jul 15 19:06:05 CEST 2004

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.)


-----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

  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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