Software for computing orthant probabilities

This page provides information about software developed for computing orthant probabilities for multivariate normal distributions using either the method of Miwa et al (2003) or Craig (2008)

You may wish to read my paper about orthant probabilities . If you don't have access to JRSS B, please e-mail me to ask for a copy.

To use the software, you need to install both the fftplus and orthant packages for R or download and build the standalone version. For R, the normal choice is to install the Windows binary version on Windows and the source version on Linux etc.

Source version of R packages

Windows binary version of R packages

Standalone version of software in C

Peter Craig

Last modified: Wed Aug 28 16:16:07 BST 2013

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