Algorithm underlying omxMnor
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ou.yang@unimel…
Joined: 03/19/2022
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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
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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In reply to SADMVN by AdminRobK
This is really helpful!
This is really helpful! Thanks heaps!!!
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In reply to This is really helpful! by ou.yang@unimel…
You're welcome. Glad to be
You're welcome. Glad to be of help.
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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).Log in or register to post comments