cdfMvt2e¶
Purpose¶
Computes multivariate Student’s t cumulative distribution function with error management over \([a, b]\).
Format¶
-
{ y, err, retcode } =
cdfMvt2e
(ctl, l_lim, u_lim, corr, nonc, df)¶ Parameters: - ctl (struct) –
instance of a
cdfmControl
structure with membersctl.maxEvaluations scalar, maximum number of evaluations. ctl.absErrorTolerance scalar, absolute error tolerance. ctl.relErrorTolerance scalar, relative error tolerance. - l_lim (NxK matrix) – lower limits. K is the dimension of multivariate Student’s t distribution. N is the number of MVT cdf integrals.
- u_lim (NxK matrix) – upper limits.
- corr (KxK matrix) – correlation matrix.
- nonc (Kx1 vector) – noncentralities.
- df (scalar) – degrees of freedom.
Returns: - p (Nx1 vector) – Each element in p is the cumulative distribution function of the multivariate Student’s t distribution for the corresponding columns in l_lim and u_lim. p will have as many elements as the input, l_lim and u_lim, have rows.
- err (Nx1 vector) – estimates of absolute error.
- retcode (Nx1 vector) –
return codes.
0 normal completion with \(err < ctl.absErrorTolerance\). 1 \(err > ctl.absErrorTolerance\) and ctl.maxEvaluations exceeded; increase ctl.maxEvaluations to decrease error. 2 \(K > 100\) or \(K < 1\). 3 R not positive semi-definite. missing R not properly defined.
- ctl (struct) –
Examples¶
Compute the multivariate student’s t cdf at 3 separate pairs of upper limits¶
/*
** Limits of integration
** -5 ≤ x1 ≤ -1 and -8 ≤ x2 ≤ -1.1
** -20 ≤ x1 ≤ 0 and -10 ≤ x2 ≤ 0.1
** 0 ≤ x1 ≤ 1 and 0 ≤ x2 ≤ 1.1
*/
l_lim = { -5 -8,
-20 -10,
0 0 };
u_lim = { -1 -1.1,
0 0.1,
1 1.1 };
// Correlation matrix
corr = { 1 0.31,
0.31 1 };
// Define non-centrality vector
nonc = { 0, 0 };
// Define degree of freedom
df = 3;
// Define control structure
struct cdfmControl ctl;
ctl = cdfmControlCreate();
/*
** Calculate cumulative probability of
** both variables being from -1e4 to 0
*/
{ p, err, retcode } = cdfMvt2e(ctl, l_lim, u_lim, corr, nonc, df );
After the above code, p should equal:
0.06226091
0.31743546
0.12010880
which means that:
\[\begin{split}P(-5 \leq x_1 \leq -1 \text{ and } -8 \leq x_2 \leq -1.1) = 0.0623\\
P(-20 \leq x_1 \leq +0 \text{ and } -10 \leq x_2 \leq +0.1) = 0.3174\\
P(0 \leq x_1 \leq 1 \text{ and } 0 \leq x_2 \leq 1.1) = 0.1201\end{split}\]
Compute the non central multivariate student’s t cdf¶
/*
** Limits of integration
** -5 ≤ x1 ≤ -1 and -8 ≤ x2 ≤ -1.1
** -20 ≤ x1 ≤ 0 and -10 ≤ x2 ≤ 0.1
** 0 ≤ x1 ≤ 1 and 0 ≤ x2 ≤ 1.1
*/
l_lim = { -5 -8,
-20 -10,
0 0 };
u_lim = { -1 -1.1,
0 0.1,
1 1.1 };
// Correlation matrix
corr = { 1 0.31,
0.31 1 };
// Define non-centrality vector, Kx1
nonc = { 1, -2.5 };
// Define degree of freedom
df = 3;
// Define control structure
struct cdfmControl ctl;
ctl = cdfmControlCreate();
/*
** Calculate cumulative probability of
** both variables being from -1e4 to 0
*/
{ p, err, retcode } = cdfMvt2e(ctl, l_lim, u_lim, corr, nonc, df );
After the above code, p should equal:
0.02810292
0.15190018
0.00092484
which means with non-central vector, the multivariate student’s t cdf are:
\[\begin{split}P(-5 \leq x_1 \leq -1 \text{ and } -8 \leq x_2 \leq -1.1) = 0.0281\\
P(-20 \leq x_1 \leq +0 \text{ and } -10 \leq x_2 \leq +0.1) = 0.1519\\
P(0 \leq x_1 \leq 1 \text{ and } 0 \leq x_2 \leq 1.1) = 0.0009\end{split}\]
Source¶
cdfm.src
- Genz, A. and F. Bretz,’’Numerical computation of multivariate t-probabilities with application to power calculation of multiple contrasts,’’ Journal of Statistical Computation and Simulation, 63:361-378, 1999.
- Genz, A., ‘’Numerical computation of multivariate normal probabilities,’’ Journal of Computational and Graphical Statistics, 1:141-149, 1992.
See also
Functions cdfMvte()
, cdfMvtce()
, cdfMvn2e()