statsmodels.sandbox.distributions.extras.mvnormcdf
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statsmodels.sandbox.distributions.extras.mvnormcdf(upper, mu, cov, lower=None, **kwds)
[source] -
multivariate normal cumulative distribution function
This is a wrapper for scipy.stats.kde.mvn.mvndst which calculates a rectangular integral over a multivariate normal distribution.
Parameters: lower, upper : array_like, 1d
lower and upper integration limits with length equal to the number of dimensions of the multivariate normal distribution. It can contain -np.inf or np.inf for open integration intervals
mu : array_lik, 1d
list or array of means
cov : array_like, 2d
specifies covariance matrix
optional keyword parameters to influence integration :
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maxpts : int, maximum number of function values allowed. This
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parameter can be used to limit the time. A sensible strategy is to start with
maxpts
= 1000*N, and then increasemaxpts
if ERROR is too large.
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- abseps : float absolute error tolerance.
- releps : float relative error tolerance.
Returns: cdfvalue : float
value of the integral
See also
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mvstdnormcdf
- location and scale standardized multivariate normal cdf
Notes
This function normalizes the location and scale of the multivariate normal distribution and then uses
mvstdnormcdf
to call the integration. -
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