CRAN status

anMC is a R package to efficiently compute orthant probabilities of high-dimensional Gaussian vectors. The method is applied to compute conservative estimates of excursion sets of functions under Gaussian random field priors. This is an upgrade on the previously existent package ConservativeEstimates. See the paper Azzimonti, D. and Ginsbourger D. (2018) for more details.


The package main functions are:


To install the latest version of the package run the following code from a R console:

if (!require("devtools"))


Azzimonti, D. and Ginsbourger, D. (2018). Estimating orthant probabilities of high dimensional Gaussian vectors with an application to set estimation. Journal of Computational and Graphical Statistics, 27(2), 255-267. DOI: 10.1080/10618600.2017.1360781. Preprint at hal-01289126

Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern. Available at link