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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




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