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!

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.

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

This is really helpful! Thanks heaps!!!

You're welcome. Glad to be of help.

I've added the Genz reference to the help page of the

`omxMnor()`

function (i.e., man page obtained from`?omxMnor`

).