MathGroup Archive: January 2007 [00054]

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Re: please explain why numerical integration is attempted

To: mathgroup at smc.vnet.net
Subject: [mg72537] Re: [mg72492] please explain why numerical integration is attempted
From: Darren Glosemeyer <darreng at wolfram.com>
Date: Fri, 5 Jan 2007 02:22:14 -0500 (EST)
References: <200701030542.AAA29349@smc.vnet.net>

Chris Chiasson wrote:
> Needs["Statistics`MultinormalDistribution`"]
> CDF[MultinormalDistribution[{1,
>       3},{{1/50,-2/125},{-2/125,9/500}},{{1/(5*Sqrt[2]),0},{(-2*Sqrt[2])/25,
>         Sqrt[13]/50}}],{2/10,1}]
>
> Thank you,
>
>   
Closed form results are generally not known for cdfs of multivariate 
normal distributions with non-diagonal covariance matrices. Numeric 
methods are needed to obtain a result.

Darren Glosemeyer
Wolfram Research

References:
- please explain why numerical integration is attempted for this input
  - From: "Chris Chiasson" <chris@chiasson.name>

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