Multivariate normal cumulative distribution

Version 1.1.0.0 (9.9 KB) by Zdravko Botev
state-of-the-art algorithm for computing the multivariate normal cdf in high dimensions
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Updated 28 Oct 2015

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Computes the probability Pr(l<X<u), where 'X' is a zero-mean multivariate normal vector with covariance 'Sig'.
In high dimensions, this algorithm is vastly superior to the one in Matlab's statistics toolbox, see example.
Reference: Z. I. Botev (2015), "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting", submitted to JRSS(B)

Cite As

Zdravko Botev (2024). Multivariate normal cumulative distribution (https://www.mathworks.com/matlabcentral/fileexchange/53583-multivariate-normal-cumulative-distribution), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.1.0.0

faster implementation of Cholesky's decomposition in cholperm.m
1.0.0.0