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Algorithm underlying omxMnor

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No user picture. ou.yang@unimel… Joined: 03/19/2022
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OpenMx General Help
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

Replied on Mon, 03/28/2022 - 10:55
Picture of user. AdminRobK Joined: 01/24/2014

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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Replied on Fri, 04/01/2022 - 11:33
Picture of user. mhunter Joined: 07/31/2009

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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