anMC {anMC}R Documentation

anMC package


Efficient estimation of high dimensional orthant probabilities. The package main functions are:


Package: anMC
Type: Package
Version: 0.2.2
Date: 2019-10-23


This work was supported in part by the Swiss National Science Foundation, grant number 146354 and the Hasler Foundation, grant number 16065.


Dario Azzimonti ( . Thanks to David Ginsbourger for the fruitful discussions and his continuous help in testing and improving the package.


Azzimonti, D. and Ginsbourger, D. (2018). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Journal of Computational and Graphical Statistics, 27(2), 255-267. DOI: 10.1080/10618600.2017.1360781

Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern.

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Robert, C. P. (1995). Simulation of truncated normal variables. Statistics and Computing, 5(2):121–125.

[Package anMC version 0.2.2 Index]