Re: Multivariate pdf of a normal distribution

[Mike Miller]

On Mon, 7 Nov 2005, Michael Creel wrote:

> Paul Kienzle wrote:
>
> (snip)
>
> > Note: Google found a cdf here:
> >
> >     http://alex.strashny.org/a/Multivariate-normal-cumulative- 
> > distribution-function-(cdf)-in-MATLAB.html
>
> On Monday morning, this was a broken link. In general, evaluating the 
> mvn cdf for a p-vector will require monte carlo integration or similar 
> techniques when p is at all large.

I think the problem might be that there is a space in that URL when there 
shouldn't be a space.  Try this:

http://alex.strashny.org/a/Multivariate-normal-cumulative-distribution-function-(cdf)-in-MATLAB.html

That page says the following:

  In statistics, the multivariate normal (mvn) is a popular distribution.
  Unfortunately, its cumulative distribution function (cdf) does not have
  a closed form. There are, however, a number of algorithms that
  numerically estimate the value of the cdf. Here is an implementation of
  one such algorithm in MATLAB [URL below]. For the algorithm itself, see

     Genz, A. (1992) Numerical Computation of Multivariate Normal
     Probabilities, J. Comp. Graph. Stat.

The linked URL is this one:

http://alex.strashny.org/b/mvncdf.m

It is under the GPL.  There is also a link to the Genz paper in postscript 
format:

http://alex.strashny.org/local/Genz-1992-multivariate-normal-probabilities.ps

Mike



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