util.mvncdf {RGeostats} | R Documentation |
Calculate the Multivariate Gaussian cumulated density function
util.mvncdf(lower, upper, varcov = NA, mean = NA, maxpts = NA, abseps = 1e-06, releps = 1e-06)
lower |
Array of lower integration limits. If not defined, the lower limit must be set to -Inf. |
upper |
Array of upper integration limits. If not defined, the upper limit must be set to Inf. |
varcov |
Variance-covariance matrix of the Gaussian variables. If not defined, it is defaulted to the unit correlation matrix. |
mean |
Array of the Gaussian means. If not defined, the Gaussian are considered as centered. |
maxpts |
Maximum number of function values allowed |
abseps |
Absolute error tolerance |
releps |
Relative error tolerance |
Returns the value of the multivariate Gaussian cumulated density.
Uses the algorithm given in the paper: "Numerical Computation of Multivariate Normal Probabilities", in J. of Computational and Graphical Stat., 1(1992), pp. 141-149, by Alan Genz Department of Mathematics Washington State University Pullman, WA 99164-3113 Email : AlanGenz@wsu.edu