Serious problem with CDF[MultinormalDistribution...
- To: mathgroup at smc.vnet.net
- Subject: [mg113892] Serious problem with CDF[MultinormalDistribution...
- From: Myeong Ae Kang <makang at purdue.edu>
- Date: Wed, 17 Nov 2010 05:29:46 -0500 (EST)
Hello.
I have a problem, serious and urgent.
I got wrong results of CDF of MultinormalDistribution.
I'm calculating (1.0 -CDF[MultinormalDistribution[{0, 0,0}, {{1, 0.559887,
0.289988}, {0.559887, 1,0.880157}, {0.289988, 0.880157, 1}}],
{4.5,4.5,6.9958}]).
The results is smaller than (1.0 -CDF[MultinormalDistribution[{0,0}, {{1,
0.559887}, {0.559887, 1}}], {4.5,4.5}]). It should be larger.
Actually, I have to calculate more than 6 to 12 random variables (12 x 12 sigma
matrix.).
Mathematica 6.0 and 7.0.1 gave me the same wrong result.
I compared this with the result of another system.
That system gave the expected value.
To fix this problem, what should I do?
Regards,
Myeong Ae Kang