On Sun, 22 Nov 2009, Ravi Varadhan wrote:
Hi Torsten,
Hi Ravi,
It would be useful to "warn" the users that the multivariate normal probability
calculated by "pmvnorm" using the GenzBretz algorithm is "random", i.e.
the result can vary between repeated executions of the function.
only if a different seed is used.
This
would prevent inappropriate use of pmvnorm such as computing derivatives
of it (see this email thread).
?pmvt has "Randomized quasi-Monte Carlo methods are used for the
computations." and appropriate references. In addition, the new book by
Alan Genz and Frank Bretz covers all technical details in depth, so
the procedures are well documented.
Anyway, I'll add a statement to ?pmvnorm.
Best wishes,
Torsten
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