Crate mv_norm

This crate implements functions related to bivariate and multivariate normal distributions.

Bivariate normal distribution CDF:

• tvpack is a straight port of Genz (2004) fortran code, and uses no SIMD.
• BatchBvnd extends that to do batch evaluation significantly faster, and uses SIMD operations
• bvnd is a quick-start helper that you can use to evaluate the CDF at a single point, and uses SIMD operations.

Modules

tvpack

These functions are ported from Alan Genz’ fortran code:

Structs

BatchBvnd

Context for quickly evaluating bvnd at many points with a single value of rho

Functions

bvnd

Evaluate Pr[ X > x, Y > y ] for X, Y standard normals of correlation coefficient rho.