util.mvncdf {RGeostats}R Documentation

Multivariate Gaussian cumulated density function

Description

Calculate the Multivariate Gaussian cumulated density function

Usage

util.mvncdf(lower, upper, varcov = NA, mean = NA, 
maxpts = NA, abseps = 1e-06, releps = 1e-06)

Arguments

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

Value

Returns the value of the multivariate Gaussian cumulated density.

References

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


[Package RGeostats version 11.1.2 Index]