Compute the cumulative distribution function of the multivariate normal distribution.
- x is the upper limit for integration where each row corresponds to an observation.
- mu is the mean.
- sigma is the correlation matrix.
- a is the lower limit for integration where each row corresponds to an observation. a must have the same size as x.
- p is the cumulative distribution at each row of x and a.
- err is the estimated error.x = [1 2]; mu = [0.5 1.5]; sigma = [1.0 0.5; 0.5 1.0]; p = mvncdf (x, mu, sigma) a = [-inf 0]; p = mvncdf (a, x, mu, sigma)
- Alan Genz and Frank Bretz. Numerical Computation of Multivariate t-Probabilities with Application to Power Calculation of Multiple Constrasts. Journal of Statistical Computation and Simulation, 63, pages 361-378, 1999.