Sofiia Dolgikh, Bogdan Potanin
arXiv 16 Jul 2026 · Econometrics
arXiv:2607.15382 · PDF · DOI · OpenAlex · Extracted main text
We introduce the mnorm package, which allows one to calculate conditional multivariate normal densities and probabilities and to differentiate them with respect to various parameters including covariances and integration limits. The package also supports parallel (multi-core) computing, handles non-normal marginals via the Gaussian copula, and provides fast routines for the calculation of bivariate and trivariate normal probabilities. The package is of special interest for the implementation of the maximum-likelihood estimators in econometric models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cao, Jian and Genton, Marc G. and Keyes, David E. and Turkiyyah, Geo… (2022) tlrmvnmvt: Computing High-Dimensional Multivariate Normal and Student-t Probabilities with Low-Rank Methods in R | 0.811 | 4 | 2 | 100% |
| 2 | Steven G. From (2020) Some new upper and lower bounds for the Mills ratio | 0.644 | 2 | 2 | 100% |
| 3 | Alan Genz (2004) Numerical computation of rectangular bivariate and trivariate normal and t probabilities | 0.585 | 3 | 1 | 100% |
| 4 | Gassmann, H (2003) Multivariate Normal Probabilities: Implementing an Old Idea of Plackett's | 0.511 | 2 | 1 | 100% |
| 5 | Alan Genz (2009) Computation of Multivariate Normal and t Probabilities | 0.511 | 2 | 1 | 100% |
| 6 | Hashorva, Enkelejd and Hüsler, Jürg (2003) On multivariate Gaussian tails | 0.405 | 1 | 1 | 100% |
| 7 | Selcuk Korkmaz and Dincer Goksuluk and Gokmen Zararsiz (2014) MVN: An R Package for Assessing Multivariate Normality | 0.405 | 1 | 1 | 100% |
| 8 | Gallant, A. Ronald and Nychka, Douglas W (1987) Semi-nonparametric Maximum Likelihood Estimation | 0.405 | 1 | 1 | 100% |
| 9 | Eddelbuettel, Dirk and Francois, Romain (2011) Rcpp: Seamless R and C++ Integration | 0.405 | 1 | 1 | 100% |
| 10 | Dirk Eddelbuettel and Conrad Sanderson (2014) RcppArmadillo: Accelerating R with high-performance C++ linear algebra | 0.405 | 1 | 1 | 100% |
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