statsmodels.sandbox.distributions.extras.mvnormcdf

statsmodels.sandbox.distributions.extras.mvnormcdf(upper, mu, cov, lower=None, **kwds)[source]

multivariate normal cumulative distribution function

This is a wrapper for scipy.stats.kde.mvn.mvndst which calculates a rectangular integral over a multivariate normal distribution.

Parameters:

lower, upper : array_like, 1d

lower and upper integration limits with length equal to the number of dimensions of the multivariate normal distribution. It can contain -np.inf or np.inf for open integration intervals

mu : array_lik, 1d

list or array of means

cov : array_like, 2d

specifies covariance matrix

optional keyword parameters to influence integration

  • maxpts : int, maximum number of function values allowed. This
    parameter can be used to limit the time. A sensible strategy is to start with maxpts = 1000*N, and then increase maxpts if ERROR is too large.
  • abseps : float absolute error tolerance.
  • releps : float relative error tolerance.
Returns:

cdfvalue : float

value of the integral

See also

mvstdnormcdf
location and scale standardized multivariate normal cdf

Notes

This function normalizes the location and scale of the multivariate normal distribution and then uses mvstdnormcdf to call the integration.