MvNormalCDF.jl - Quasi-Monte-Carlo numerical computation of multivariate normal probabilities.

This function uses an algorithm given in the paper “Numerical Computation of Multivariate Normal Probabilities”, in J. of Computational and Graphical Stat., 1(1992), pp. 141-149, by Alan Genz, WSU Math, PO Box 643113, Pullman, WA 99164-3113 Email : alangenz@wsu.edu

The primary references for the numerical integration are “On a Number-Theoretical Integration Method” H. Niederreiter, Aequationes Mathematicae, 8(1972), pp. 304-11, and “Randomization of Number Theoretic Methods for Multiple Integration” R. Cranley and T.N.L. Patterson, SIAM J Numer Anal, 13(1976), pp. 904-14.

Re-coded in Julia from the MATLAB function qsimvnv(m,r,a,b) Alan Genz is the author the MATLAB qsimvnv() function.

Alan Genz software website: archive.md Source code to MATLAB qsimvnv() function: archive.md

Idea was taken from this PR to StatsFuns.jl.

Also see discourse discussion here.

Thanks to @blackeneth