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

Dave dave.hirschfeld@gmail....
Fri Mar 20 08:34:45 CDT 2009


 <josef.pktd <at> gmail.com> writes:

> 
> On Sat, Jan 10, 2009 at 9:35 PM, Robert Kern <robert.kern <at> gmail.com> 
wrote:
> > On Sat, Jan 10, 2009 at 20:29,  <josef.pktd <at> gmail.com> wrote:
> >> 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?
> >
> > No, I didn't expose it. Not for any particular reason; it's just that
> > the only use case I had was the KDE stuff.
> >
> 
> I will add it to stats.distributions when I find time to clean it up
> and add tests.
> 
> mvn cdf will be useful to construct normal copulas.
> 
> Josef
> 

I'm currently using the mvncdf.py code you posted to the list but unless I'm
mistaken it hasn't made the cut for 0.7 and there's no enhancement ticket for
it in trac. It's a very useful function for me (and others I'm sure) so it
would be a shame for it to just be forgotten as an list attachment. Should I 
file an enhancement ticket?





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