Cummulative Distribution Function (CDF) for Multivariate Normal Distribution

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Cummulative Distribution Function (CDF) for Multivariate Normal Distribution

Hello,

I know the functions PROBNORM and PROBBNRM return the probability of normal and bi-variate normal distributions.

Is there a similar function for multi-variate normal distributaion, say for Trivariate normal distribution?

I have found the following article that shows how to manually build the function

http://blogs.sas.com/content/iml/2012/07/05/compute-multivariate-normal-denstity.html

however, I need to use the function in PROC NLMIXED and therefore need an off-the-shelf solution.

Any suggestions is greatly appriciated.

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‎12-02-2016 04:10 PM
SAS Super FREQ
Posts: 4,245

Re: Cummulative Distribution Function (CDF) for Multivariate Normal Distribution

To clarify, the article that you linked to shows how to compute the multivariate DENSITY.  From your title, I assume that you are asking for the multivariate CDF (cumulative probability).

There is no built-in SAS function to return the multivariate normal CDF for arbitrary dimensions.  What are you trying to accomplish? There might be other ways to achieve your objective.

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Solution
‎12-02-2016 04:10 PM
SAS Super FREQ
Posts: 4,245

Re: Cummulative Distribution Function (CDF) for Multivariate Normal Distribution

To clarify, the article that you linked to shows how to compute the multivariate DENSITY.  From your title, I assume that you are asking for the multivariate CDF (cumulative probability).

There is no built-in SAS function to return the multivariate normal CDF for arbitrary dimensions.  What are you trying to accomplish? There might be other ways to achieve your objective.

☑ This topic is solved.