Compute High Dimensional Orthant Probabilities


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Documentation for package ‘anMC’ version 0.2.2

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anMC-package anMC package
anMC anMC package
ANMC_Gauss ANMC estimate for the remainder
conservativeEstimate Computationally efficient conservative estimate
get_chronotime Measure elapsed time with C++11 chrono library
MC_Gauss MC estimate for the remainder
mvrnormArma Sample from multivariate normal distribution with C++
ProbaMax Probability of exceedance of maximum of Gaussian vector
ProbaMin Probability of exceedance of minimum of Gaussian vector
selectActiveDims Select active dimensions for small dimensional estimate
selectQdims Iteratively select active dimensions
trmvrnorm_rej_cpp Sample from truncated multivariate normal distribution with C++