Compute the cumulative distribution function of the multivariate
normal distribution.
Arguments
x is the upper limit for integration where each row corresponds
to an observation.
mu is the mean.
sigma is the correlation matrix.
a is the lower limit for integration where each row corresponds
to an observation. a must have the same size as x.
Return values
p is the cumulative distribution at each row of x and
a.
err is the estimated error.
Examples
x = [1 2];
mu = [0.5 1.5];
sigma = [1.0 0.5; 0.5 1.0];
p = mvncdf (x, mu, sigma)
a = [-inf 0];
p = mvncdf (a, x, mu, sigma)
References
Alan Genz and Frank Bretz. Numerical Computation of Multivariate
t-Probabilities with Application to Power Calculation of Multiple
Constrasts. Journal of Statistical Computation and Simulation,
63, pages 361-378, 1999.