[Rcpp-devel] Recommendations on how to incorporate pmvnorm function

Scott Monroe monroeleescott at gmail.com
Sun Jan 26 19:58:18 CET 2014

Hi everyone,

I was hoping for advice on approaches to accomplishing the following goal.
I'd like to create an R package using Rcpp that calls the pmvnorm (cdf for
multivariate normal) function from the mvtnorm library.  I'd like to avoid
calling it through R, as I need to do it many times, and I'd like to avoid
the overhead in going between C++ and R.

The source code, written by Alan Genz, is in Fortran.  I've also found on
GitHub a C++ wrapped version of the Fortran code:


The latter includes a Makefile, which I don't know how to handle.

To date, I've been working on packages using Rcpp and RcppArmadillo through

I'd appreciate any advice.

Thanks, Scott
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/rcpp-devel/attachments/20140126/62dccc74/attachment.html>

More information about the Rcpp-devel mailing list