Multivariate normal cumulative distribution
Computes the probability Pr(l<X<u), where 'X' is a zero-mean multivariate normal vector with covariance 'Sig'.
In high dimensions, this algorithm is vastly superior to the one in Matlab's statistics toolbox, see example.
Reference: Z. I. Botev (2015), "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting", submitted to JRSS(B)
Zitieren als
Zdravko Botev (2024). Multivariate normal cumulative distribution (https://www.mathworks.com/matlabcentral/fileexchange/53583-multivariate-normal-cumulative-distribution), MATLAB Central File Exchange. Abgerufen .
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions > Multivariate Distributions > Multivariate Normal Distribution >
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Inspiriert: Multivariate normal cumulative distribution (QMC)
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Version | Veröffentlicht | Versionshinweise | |
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1.1.0.0 | faster implementation of Cholesky's decomposition in cholperm.m |
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1.0.0.0 |