mnorm: An R Package for Calculation and Differentiation of Conditional Multivariate Normal Densities and Probabilities

Sofiia Dolgikh; Bogdan Potanin

mnorm: An R Package for Calculation and Differentiation of Conditional Multivariate Normal Densities and Probabilities

Econometrics 2026-07-16 v1

Authors: Sofiia Dolgikh , Bogdan Potanin

Abstract

We introduce the mnorm package, which allows one to calculate conditional multivariate normal densities and probabilities and to differentiate them with respect to various parameters including covariances and integration limits. The package also supports parallel (multi-core) computing, handles non-normal marginals via the Gaussian copula, and provides fast routines for the calculation of bivariate and trivariate normal probabilities. The package is of special interest for the implementation of the maximum-likelihood estimators in econometric models.

Keywords

R package multivariate normal conditional density differentiation maximum likelihood Gaussian copula

Cite

@article{arxiv.2607.15382,
  title  = {mnorm: An R Package for Calculation and Differentiation of Conditional Multivariate Normal Densities and Probabilities},
  author = {Sofiia Dolgikh and Bogdan Potanin},
  journal= {arXiv preprint arXiv:2607.15382},
  year   = {2026}
}