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MathGroup Archive 2007

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Can anyone help me Thanks

  • To: mathgroup at smc.vnet.net
  • Subject: [mg75695] Can anyone help me Thanks
  • From: 佳玲chialing <chia20040825 at yahoo.com.hk>
  • Date: Wed, 9 May 2007 04:17:03 -0400 (EDT)

My question is as follow,
  'S1,s1,S2,s2 is constant, fn is a function with variable A1, A2
<< Statistics`MultinormalDistribution`;
rr = {{1, 0.75}, {0.75, 1}};
ndist2 = MultinormalDistribution[{0, 0}, rr];
pf2[A1_, A2_] : = {PDF[ndist2,{(Log[A1/S1]-(s1^2/2))/s1,((Log[A2/S2]-(s2^2/2))/s2}]}[[1]];
z = NIntegrate[1/(A1 A2)*(fn[A1, A2]pf2[A1, A2]), {A1, 0, Infinity}, {A2, 0, Infinity}, MinRecursion -> 5, MaxRecursion -> 10];
  
I want to extend the 36 dimensional MultinormalDistribution, could you help me?
i.e.
<< Statistics`MultinormalDistribution`;
36r = {{1, 0.75,........................}, {0.75, 1,..............}.........................};
ndist36 = MultinormalDistribution[{0, 0,...................}, 36r];
pf36[A1_, A2_,A3_...............] : = {PDF[ndist36,{(Log[A1/S1]-(s1^2/2))/s1,((Log[A2/S2]-(s2^2/2))/s2},..........]}[[1]];
z = NIntegrate[1/(A1 A2 .........)*(fn[A1, A2,...........]pf36[A1, A2,.........]), {A1, 0, Infinity}, {A2, 0, Infinity},................ MinRecursion -> 5, MaxRecursion -> 10];
   
  Thank you again.
  Sincerely,

  Alice



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