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Re: Multivariate pdf of a normal distribution


From: Michael Creel
Subject: Re: Multivariate pdf of a normal distribution
Date: Mon, 07 Nov 2005 09:32:06 +0200
User-agent: Mozilla Thunderbird 1.0.7 (X11/20051013)

Paul Kienzle wrote:

(snip)


Note: Google found a cdf here:

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


- Paul

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.



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