boost C++ library in R language (Windows)

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I installed package BH in order to have access to boost C++ library. The installation was successful, however when I use the following lines in C++ file:

// [[Rcpp::depends(BH)]]
#include "boost/math/distributions/normal.hpp"

I am getting an error that the file "boost/math/distributions/normal.hpp" cannot be found.

Am I doing something wrong?

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