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.

Returns:

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