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._mvn.mvndst which calculates a rectangular integral over a multivariate normal distribution.

Parameters:

lower, upperarray_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

muarray_lik, 1d

list or array of means

covarray_like, 2d

specifies covariance matrix

optional keyword parameters to influence integration

maxptsint, 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:

cdfvaluefloat: value of the integral