Function File: p = mvncdf (x, mu, sigma)
Function File: mvncdf (a, x, mu, sigma)
Function File: [p, err] = mvncdf (…)

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

  1. 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.

Package: statistics