lncdfmvn¶

Purpose¶

Computes natural log of multivariate Normal cumulative distribution function.

Format¶

lnp = lncdfmvn(x, corr)
Parameters: x (KxL matrix) – abscissae. corr (KxK matrix) – correlation matrix. lnp (Lx1 vector) – $ln Pr(X < x|r)$

Examples¶

  x = { 0.87  0.62  0.67  0.25,
0.5  -0.3  -0.19  1.25,
-1.12  1.2  2.9  2.1};

corr = { 1 0.23 -0.7,
0.25 1 0,
-0.7 0 1};

p = lncdfmvn(x, corr);

p =  -3.23918  -1.32135  -1.05564  -0.62031


Remarks¶

You can pass more than one set of abscissae at a time; each column of x is treated separately.

Source¶

lncdfn.src

Functions cdfmvn(), lncdfbvn()