[SciPy-user] cdf and integration for multivariate normal distribution in stats.kde
Sat Jan 10 20:29:06 CST 2009
I found the fortran code for rectangular integration of the
multivariate normal distribution in stats kde, which can be used to
calculate the cdf.
I didn't see this function exposed anywhere in scipy. Did I miss it?
I wrote a quick wrapper, with two functions
mvstdnormcdf(lower,upper,corrcoef, **kwds) direct convenience
wrapper with just some reparameterization for convenience, for
mvnormcdf(lower, upper, mu, cov, **kwds) allows non-standard
multivariate normal distribution, normalizes distribution and calls
Both calculate the integral only for a single are, no vectorization
yet. Also, this is not yet a clean version.
I wanted to ask first if I missed it, and it's already used somewhere in scipy.
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