Yes. See the mvtnorm package on CRAN. It implements Genz's algorithm, the fastest method in town. (I have a version I converted to S-PLUS as well, if you, or anyone, might need it.)
Kevin -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Trenkler, Dietrich Sent: Thursday, July 15, 2004 8:00 AM To: 'r-help' Subject: [R] GHK simulator Dear R-community, not to re-invent the wheel I wonder if someone of you has ever written a function to compute the GHK smooth recursive simulator to estimate multivariate normal probabilities. See for instance page 194 of @BOOK{Greene97, author = {William H. Greene}, year = 1997, title = {Econometric Analysis}, edition = {3rd}, publisher = {Prentice-Hall}, address = {New Jersey 07458} } Thank you. Dietrich Trenkler -- Dietrich Trenkler Universität Osnabrück FB Wirtschaftswissenschaften Rolandstr.8 D-49069 Osnabrück [EMAIL PROTECTED] ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html