turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

Find a Community

- Home
- /
- SAS Programming
- /
- General Programming
- /
- Cummulative Distribution Function (CDF) for Multiv...

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

12-01-2016 12:03 AM

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.

Accepted Solutions

Solution

12-02-2016
04:10 PM

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

12-01-2016 01:36 PM

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.

All Replies

Solution

12-02-2016
04:10 PM

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

12-01-2016 01:36 PM

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.