MVNPACK

mvnpack.f : This file contains a short test program, software for MVN distribution subroutines SADMVN, RANMVN, KROMVN and SPHMVN, plus supporting software. The file is self contained and should compile without errors on (77) standard Fortran compilers. The test program demonstrates the use of four different methods for computing MVN distribution values for a five dimensional example problem, with three different integration limit combinations.

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References in zbMATH (referenced in 1 article )

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  1. de Doncker, Elise; Kapenga, John; Assaf, Rida: Monte Carlo automatic integration with dynamic parallelism in CUDA (2014)