lncdfbvn#

Purpose#

Computes natural log of bivariate Normal cumulative distribution function.

Format#

lnp = lncdfbvn(x1, x2, corr)#

Parameters:

x1 (NxK matrix) – the upper limits of integration for variable 1.
x2 (LxM matrix) – ExE conformable with x1, the upper limits of integration for variable 2.
corr (PxQ matrix) – ExE conformable with x1 and x2, the correlation coefficients between the two variables.

Returns:

lnp (max(N,L,P) x max(K,M,Q) matrix) –

the natural log of the result of the double integral

\[ln \big(Pr(X < x1, X < x2|corr)\big)\]

Examples#

// Set seed for repeatable random numbers
rndseed 777;

// Upper integration bounds of variable 1
x = rndn(10, 1);

// Upper integration bounds of variable 2
y = rndn(10, 1);

// Correlation parameter
corr = rndu(10, 1);

// Call lncdfBvn
lnp = lncdfBvn(x, y, corr);

After above code,

lnp =   -1.89185
      -0.82582
      -5.59055
      -0.42739
      -2.14569
      -0.77381
      -0.87389
      -4.78925
      -2.34863
      -2.14925

Source#

lncdfn.src