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

[Scott Monroe]

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:

https://github.com/zhanxw/libMvtnorm

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
RStudio.

I'd appreciate any advice.

Thanks, Scott
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