You are here

Home › Forums › OpenMx Help › OpenMx General Help

Algorithm underlying omxMnor

5 posts / 0 new
Log in or register to post comments
Last post
Mon, 03/28/2022 - 10:15
#1
ou.yang@unimelb.edu.au's picture
ou.yang@unimelb...
Offline
Joined: 03/19/2022 - 09:48
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

Top
Mon, 03/28/2022 - 11:55
AdminRobK's picture
AdminRobK
Offline
Joined: 01/24/2014 - 12:15
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.

Top
Tue, 03/29/2022 - 08:53
(Reply to #2)
ou.yang@unimelb.edu.au's picture
ou.yang@unimelb...
Offline
Joined: 03/19/2022 - 09:48
This is really helpful!

This is really helpful! Thanks heaps!!!

Top
Tue, 03/29/2022 - 10:57
(Reply to #3)
AdminRobK's picture
AdminRobK
Offline
Joined: 01/24/2014 - 12:15
You're welcome. Glad to be

You're welcome. Glad to be of help.

Top
Fri, 04/01/2022 - 12:33
mhunter's picture
mhunter
Offline
Joined: 07/31/2009 - 15:26
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).

Top

Copyright © 2007-2023 The OpenMx Project