[SciPy-user] cdf and integration for multivariate normal distribution in stats.kde

josef.pktd@gmai... josef.pktd@gmai...
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
standard normal
mvnormcdf(lower, upper, mu, cov, **kwds)    allows non-standard
multivariate normal distribution, normalizes distribution and calls
mvstdnormcdf

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.

Josef
-------------- next part --------------
An embedded and charset-unspecified text was scrubbed...
Name: mvncdf.py
Url: http://projects.scipy.org/pipermail/scipy-user/attachments/20090110/bef63fec/attachment.pl 


More information about the SciPy-user mailing list