A problem with CDF
- To: mathgroup@smc.vnet.net
- Subject: [mg11695] A problem with CDF
- From: Mr C W Mark WONG <bsroq@csv.warwick.ac.uk>
- Date: Sat, 21 Mar 1998 18:35:28 -0500
- Organization: University of Warwick, UK
Hi
I have a problem using CDF in Mathematica. I am trying to evaluate a
multivarivate integral with dimension >=2. It seems to me that
Mathematica can't handle the problem well with a special correlation
matrix, sigma (m3 as follows) when dim >2, but it is working fine when
dim=2. Is it a limitation of Mathematica? or do I overlook a mistake?
Thank you
Mark
*********************************************
In[16]:= <<Statistics`MultinormalDistribution`
In[17]:= m3=Table[If[i<=j,Sqrt[i/j],Sqrt[j/i]],{i,3},{j,3}]
1 1 1 2 1 2
Out[17]= {{1, -------, -------}, {-------, 1, Sqrt[-]}, {-------,
Sqrt[-], 1}}
Sqrt[2] Sqrt[3] Sqrt[2] 3 Sqrt[3] 3
In[18]:= dist=MultinormalDistribution[{0, 0,0},m3]
Out[18]= MultinormalDistribution[{0, 0, 0},
1 1 1 1 2
> {{1, -------, -------}, {-------, <<2>>}, {-------, Sqrt[-], 1}}]
Sqrt[2] Sqrt[3] Sqrt[2] Sqrt[3] 3
In[20]:= CDF[dist,{0,0,0}]
1
Power::infy: Infinite expression - encountered.
0
NIntegrate::inum:
Integrand 0.00603870503532375 (1. + Erf[ComplexInfinity])
is not numerical at
{Statistics`MultinormalDistribution`Private`z$72} =
{-1.}.
NIntegrate::inum:
Integrand 0.00603870503532375 (1. + Erf[ComplexInfinity])
is not numerical at
{Statistics`MultinormalDistribution`Private`z$72} =
{-1.}.
Out[20]= NIntegrate[
Statistics`MultinormalDistribution`Private`product$72
> -------------------------------------------------------------,
2
Statistics`MultinormalDistribution`Private`z$72 /2 1/2
E (2 Pi)
> {Statistics`MultinormalDistribution`Private`z$72, -Infinity,
Infinity},
> AccuracyGoal ->
Statistics`MultinormalDistribution`Private`accgoal$72]
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