Multivariate normal distribution function
Multivariate normal distribution function
pmvn(lower, upper, mu, sigma, cor = FALSE)
lower |
lower limits |
upper |
upper limits |
mu |
mean vector |
sigma |
variance matrix or vector of correlation coefficients |
cor |
if TRUE sigma is treated as standardized (correlation matrix) |
lower <- rbind(c(0,-Inf),c(-Inf,0)) upper <- rbind(c(Inf,0),c(0,Inf)) mu <- rbind(c(1,1),c(-1,1)) sigma <- diag(2)+1 pmvn(lower=lower,upper=upper,mu=mu,sigma=sigma)
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