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Algorithm underlying omxMnor

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Mon, 03/28/2022 - 10:15
#1
ou.yang@unimelb.edu.au's picture
ou.yang@unimelb...
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Algorithm underlying omxMnor

Dear all,

I am currently using omxMnor to calculate the multivariate normal integral in my paper. Wonder what is the underlying algorithm implemented by omxMnor. Any references would be greatly appreciated!

Cheers,
Ou

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Mon, 03/28/2022 - 11:55
AdminRobK's picture
AdminRobK
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SADMVN

The algorithm underlying omxMnor() is a FORTRAN subroutine called 'SADMVN'. It starts on line 558 of src/sadmvn.f in the OpenMx source repository. SADMVN's code contains the following comment, which provides a citation for the algorithm:

*     A subroutine for computing multivariate normal probabilities.
*     This subroutine uses an algorithm given in the paper
*     "Numerical Computation of Multivariate Normal Probabilities", in
*     J. of Computational and Graphical Stat., 1(1992), pp. 141-149, by
*          Alan Genz
*          Department of Mathematics
*          Washington State University
*          Pullman, WA 99164-3113
*          Email : alangenz@wsu.edu

Professor Genz has a PDF of that paper on his website here.

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Tue, 03/29/2022 - 08:53
(Reply to #2)
ou.yang@unimelb.edu.au's picture
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This is really helpful!

This is really helpful! Thanks heaps!!!

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Tue, 03/29/2022 - 10:57
(Reply to #3)
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You're welcome. Glad to be

You're welcome. Glad to be of help.

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Fri, 04/01/2022 - 12:33
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mhunter
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Reference in help page

I've added the Genz reference to the help page of the omxMnor() function (i.e., man page obtained from ?omxMnor).

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