Multivariate normal cumulative distribution

Versión 1.1.0.0 (9,9 KB) por Zdravko Botev
state-of-the-art algorithm for computing the multivariate normal cdf in high dimensions
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Actualizado 28 oct 2015

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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)

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Zdravko Botev (2024). Multivariate normal cumulative distribution (https://www.mathworks.com/matlabcentral/fileexchange/53583-multivariate-normal-cumulative-distribution), MATLAB Central File Exchange. Recuperado .

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Se creó con R2015b
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Inspiración para: Multivariate normal cumulative distribution (QMC)

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1.1.0.0

faster implementation of Cholesky's decomposition in cholperm.m
1.0.0.0