R Under development (unstable) (2024-11-03 r87286 ucrt) -- "Unsuffered Consequences"
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> 
> library("mvtnorm")
> 
> set.seed(1)
> dim <- 10
> df <- 5
> 
> D <- diag(dim)+crossprod(matrix(runif(25,-1,1),dim,dim))
> corr <- cov2cor(D)
> 
> ## one-sided, lower tail
> qu <- qmvt(0.95, df=df, corr=corr)$quantile
> pmvt(lower=rep(-Inf, dim), upper=rep(qu,dim), corr=corr, df=df)
[1] 0.9499886
attr(,"error")
[1] 8.394993e-05
attr(,"msg")
[1] "Normal Completion"
> 
> qu <- qmvnorm(0.95, corr=corr)$quantile
> pmvnorm(lower=rep(-Inf, dim), upper=rep(qu,dim), corr=corr)
[1] 0.9499785
attr(,"error")
[1] 6.265055e-05
attr(,"msg")
[1] "Normal Completion"
> 
> ## two-sided
> qu <- qmvt(0.95, df=df, corr=corr, tail="both.tails")$quantile
> pmvt(lower=rep(-qu, dim), upper=rep(qu,dim), corr=corr, df=df)
[1] 0.949925
attr(,"error")
[1] 9.635837e-05
attr(,"msg")
[1] "Normal Completion"
> 
> qu <- qmvnorm(0.95, corr=corr, tail="both.tails")$quantile
> pmvnorm(lower=rep(-qu, dim), upper=rep(qu,dim), corr=corr)
[1] 0.949927
attr(,"error")
[1] 0.0001545113
attr(,"msg")
[1] "Normal Completion"
> 
> ## one-sided, upper tail
> qu <- qmvt(0.95, df=df, corr=corr, tail="upper.tail")$quantile
> pmvt(lower=rep(qu, dim), upper=rep(Inf,dim), corr=corr, df=df)
[1] 0.9499528
attr(,"error")
[1] 9.714629e-05
attr(,"msg")
[1] "Normal Completion"
> 
> qu <- qmvnorm(0.95, corr=corr, tail="upper.tail")$quantile
> pmvnorm(lower=rep(qu, dim), upper=rep(Inf,dim), corr=corr)
[1] 0.9500897
attr(,"error")
[1] 7.617415e-05
attr(,"msg")
[1] "Normal Completion"
> 
> ## cross-check interval works
> ## one-sided, lower tail
> qu <- qmvt(0.95, df=df , corr=corr, interval=c(0,10))$quantile
> pmvt(lower=rep(-Inf, dim), upper=rep(qu,dim), corr=corr, df=df)
[1] 0.9500624
attr(,"error")
[1] 0.0001741215
attr(,"msg")
[1] "Normal Completion"
> 
> qu <- qmvnorm(0.95, corr=corr, interval=c(0,10))$quantile
> pmvnorm(lower=rep(-Inf, dim), upper=rep(qu,dim), corr=corr)
[1] 0.9500022
attr(,"error")
[1] 9.231686e-05
attr(,"msg")
[1] "Normal Completion"
> 
> proc.time()
   user  system elapsed 
  13.06    0.10   13.15