Installation
About
Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities"
Key Metrics
Downloads
Yesterday | 6 0% |
Last 7 days | 35 -30% |
Last 30 days | 139 +5% |
Last 90 days | 487 +3147% |
Last 365 days | 499 |