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

Dave Hirschfeld dave.hirschfeld@gmail....
Tue Mar 31 03:28:14 CDT 2009


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

> 
> On Fri, Mar 20, 2009 at 9:34 AM, Dave <dave.hirschfeld <at> gmail.com> wrote:
> > 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?
> >
> 
> I'm glad you find it useful.
> 
> I had added the ticket: http://projects.scipy.org/scipy/ticket/846
> but there was a typo in the title/summary so searching for
> "multivariate" didn't find it.
> 
> Since you seem to be the first user of it, can you provide any
> comments on the API. Are the functions useful in the way they are, or
> what changes would yo recommend? You could add some comments to the
> trac ticket.
> 
> Thanks,
> 
> Josef
> 

Sorry for the delayed reply - it's been pretty hectic and I was hoping to 
use/test the code a bit more beforehand.

As it is I'm just using the mvnormcdf function in a gaussian copula to 
simulate correlated random variables with arbitrary marginal distributions.
The function seems to be working fine for me but as mentioned I've yet to
test the code very much. Specifying a lower bound for a CDF initially struck
me as a little strange but -Inf works fine and it gives other users more 
flexibility.

Thanks for the code, I'm glad it's got a ticket attached. I'll post any
suggestions I may have (after further testing) on the trac ticket.

-Dave







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