VeccTMVN

1.3.2

Multivariate Normal Probabilities using Vecchia Approximation

0packages depend

2.3Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Jian CaoFirst published 2024-01-268 releasesCRAN page ↗GitHub ↗

Under a different representation of the multivariate normal (MVN) probability, we can use the Vecchia approximation to sample the integrand at a linear complexity with respect to n. Additionally, both the SOV algorithm from Genz (92) and the exponential-tilting method from Botev (2017) can be adapted to linear complexity. The reference for the method implemented in this package is Jian Cao and Matthias Katzfuss (2024) "Linear-Cost Vecchia Approximation of Multivariate Normal Probabilities" doi:10.48550/arXiv.2311.09426. Two major references for the development of our method are Alan Genz (1992) "Numerical Computation of Multivariate Normal Probabilities" doi:10.1080/10618600.1992.10477010 and Z. I. Botev (2017) "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting" doi:10.48550/arXiv.1603.04166.

Install

R (CRAN)pak (dev)Ubuntu (r2u)openSUSE (OBS)

install.packages("VeccTMVN", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("JCatwood/VeccTMVN")

Development version from JCatwood/VeccTMVN. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-vecctmvn

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-VeccTMVN

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.7 min · r-oldrel-windows-x86_64

Check history

OK2026-04-22
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

Documentation signals are not tracked yet for this package.

Downloads

2.3K

CRAN downloads in the past year

Rank #19,204 · ~6/day · ~195/mo

VeccTMVN Releases R versions

Daily download trend is not available in this view yet.

18530 days

60290 days

2.3K1 year

Compare downloads with other packages →

Also on439 r2u14 autocran

Repository

GitHub ↗ jcatwood/vecctmvn

2Stars

0Forks

1Open issues

0Open PRs

1Releases

26Commits

3Contributors

normal-distributionr-packagesampling-methodsstatistics

26 commits · Last activity 2026-01-27

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/jcatwood/vecctmvn on 2026-07-19.

Continuous integration (1)

GitHub Actions

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (7)

RcppMatrixGpGp truncnorm GPvecchia TruncatedNormal nleqslv

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (3)

testthat lhs mvtnorm

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (2)

Maintainer (1)

Jian Cao

Author, Maintainer

Authors (2)

Jian Cao

Author, Maintainer

Matthias Katzfuss

Author

Package Timeline

8 releases. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.3.2Latest
2026-02-03 · current release · diff ↗
1.3.1
2025-08-19 · diff ↗
1.3.0
2025-07-14 · diff ↗
R
R 4.5.0 released · 2025-04-11
1.2.1
2024-11-26 · diff ↗
1.2.0
2024-09-23 · diff ↗
1.1.1
2024-09-05 · diff ↗
1.1.0
2024-08-16 · diff ↗
R
R 4.4.0 released · 2024-04-24
1.0.0
2024-01-26
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2024-01-26
Total releases: 8 / 2 yrs
License: GPL (>= 2) OSI
Download size: 39 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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