package mvtnorm: sigma parameter in pmvnorm() (PR#2478)

Full_Name: Jerome Asselin
Version: 1.6.2
OS: RedHat Linux 7.2
Submission from: (NULL) (142.103.173.179)



pmvnorm() may fail for a univariate distribution when
its parameter "sigma" is defined as a matrix. It will
fail if sigma < 1.

library(mvtnorm)

#THIS WORKS

pmvnorm(lower=-Inf,upper=2,mean=0,sigma=matrix(1.5))

[1] 0.9487648
attr(,"error")
[1] 0
attr(,"msg")
[1] "univariate: using pnorm"

#THIS FAILS

pmvnorm(lower=-Inf,upper=2,mean=0,sigma=matrix(.5))

Error in checkmvArgs(lower = lower, upper = upper, mean = mean, corr = corr,  :
        diag(sigma) and lower are of different length

#THIS WORKS

pmvnorm(lower=-Inf,upper=2,mean=0,sigma=.5)

[1] 0.9976611
attr(,"error")
[1] 0
attr(,"msg")
[1] "univariate: using pnorm"