mnorm: An R Package for Calculation and Differentiation of Conditional Multivariate Normal Densities and Probabilities

Sofiia Dolgikh and Bogdan Potanin

Papers from arXiv.org

Abstract: We introduce the mnorm package, which allows one to calculate conditional multivariate normal densities and probabilities and to differentiate them with respect to various parameters including covariances and integration limits. The package also supports parallel (multi-core) computing, handles non-normal marginals via the Gaussian copula, and provides fast routines for the calculation of bivariate and trivariate normal probabilities. The package is of special interest for the implementation of the maximum-likelihood estimators in econometric models.

Date: 2026-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2607.15382 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2607.15382

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().