How can I compute the Multivariate normal cumulative distribution from vector a to vector b?
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The function mvncdf(X) gives me the following probability: Pr{V(1) ≤ X(1),V(2) ≤ X(2),...,V(d) ≤ X(d)}
So it basically consider the the semi-infinite rectangle with upper limits defined by X.
However I want to consider a finite rectangle with upper limits defined by X and lower limits defined by Y.
I am looking for a function so that function(X,Y) gives the following probability:
Pr{ Y(1) ≤ V(1) ≤ X(1), Y(2) ≤ V(2) ≤ X(2),..., Y(d) ≤ V(d) ≤ X(d)}
Thank you. Marco
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Accepted Answer
Tom Lane
on 17 Aug 2012
Try "help mvncdf" again and read down to the syntax
Y = mvncdf(XL,XU,MU,SIGMA)
This sounds like what you want.
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