Services & Resources / Wolfram Forums
-----
 /
MathGroup Archive
2006
*January
*February
*March
*April
*May
*June
*July
*August
*September
*October
*November
*December
*Archive Index
*Ask about this page
*Print this page
*Give us feedback
*Sign up for the Wolfram Insider

MathGroup Archive 2006

[Date Index] [Thread Index] [Author Index]

Search the Archive

Integrate the Multivariate normal distribution

  • To: mathgroup at smc.vnet.net
  • Subject: [mg67451] Integrate the Multivariate normal distribution
  • From: "Miguel Lejeune" <mlejeune at andrew.cmu.edu>
  • Date: Sun, 25 Jun 2006 03:19:18 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

  Hello,

  I am using the MultiNormal function to compute the probability density 
function (pdf_ and cumulative probability distribution (cdf) of a 
bivraite normally distributed variable.

  I have two questions.

  1) I followed the help file to get familiar with that function.
  But although I repeat what is indicated, I do not obtain the same 
output. Could you please indicate me?
  Example:

  In:  Statistics`MultinormalDistribution
  In: (r = {{1, 0.2}, {0.2, 1}};
  ndist = MultinormalDistribution[{0, 0}, r])

  I obtain as output:
  Out: MultinormalDistribution [ {{0, 0}, {1, 0.2}, {1,0.2, 1}}]
  which is fine.

  However, when I type:

  In:  pdf = PDF[ndist, {x1, x2}]

  The only output I obtain is:
  MultinormalDistribution[{0, 0}, {{1, 0.2}, {1, 0, 2}}]

  while in the help file it is indicated that I should obtain an 
algebraic expression.

  Why is it??


  2) My second question. I would like to proceed to the numerical 
integration of the CDF of the bivariate normal distribution. I enter:

  In:   NIntegrate[CDF[ndist, {x1, x2}], {x1, -Infinity, 0}, {x2,-Infinity, 0}]

  I systematically obtain the following error message:

  "NIntegrate::inum: Integrand CDF[MultinormalDistribution[{0, 0}, {{1,0.5}, \
  {1, 0, 5}}], {x1, x2}] is not numerical at {x1, x2} = {-1., -1.}
  "
  I do not understand why it is saying that the expression  is not 
numerical at {-1,1}. Could anybody help?



  Many thanks,



  Miguel



  • Prev by Date: Re: Listing ALL Options for a mathematica Function
  • Next by Date: Re: Quaternion problem
  • Previous by thread: Re: NIntegrate's Method ->Oscillatory option
  • Next by thread: Re: Quaternion problem-> conversion