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
- maxptsint, maximum number of function values allowed. This
parameter can be used to limit the time. A sensible strategy is to start with maxpts = 1000*N, and then increase maxpts if ERROR is too large.
abseps : float absolute error tolerance.
releps : float relative error tolerance.
- Returns
cdfvalue : float
value of the integral
See also
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.