Multivariate normal cumulative distribution
state-of-the-art algorithm for computing the multivariate normal cdf in high dimensions
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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)
인용 양식
Zdravko Botev (2026). Multivariate normal cumulative distribution (https://kr.mathworks.com/matlabcentral/fileexchange/53583-multivariate-normal-cumulative-distribution), MATLAB Central File Exchange. 검색 날짜: .
