mnorm: Multivariate Normal Distribution

Calculates and differentiates probabilities and density of (conditional) multivariate normal distribution and Gaussian copula (with various marginal distributions) using methods described in A. Genz (2004) <doi:10.1023/B:STCO.0000035304.20635.31>, A. Genz, F. Bretz (2009) <doi:10.1007/978-3-642-01689-9> and E. Kossova, B. Potanin (2018) <>.

Version: 1.1.0
Depends: hpa (≥ 1.3.0)
Imports: Rcpp (≥ 1.0.6)
LinkingTo: Rcpp, RcppArmadillo, hpa
Published: 2023-01-15
Author: Bogdan Potanin [aut, cre, ctb]
Maintainer: Bogdan Potanin <bogdanpotanin at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: mnorm results


Reference manual: mnorm.pdf


Package source: mnorm_1.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mnorm_1.1.0.tgz, r-oldrel (arm64): mnorm_1.1.0.tgz, r-release (x86_64): mnorm_1.1.0.tgz, r-oldrel (x86_64): mnorm_1.1.0.tgz
Old sources: mnorm archive


Please use the canonical form to link to this page.