Cummulative Distribution Function (CDF) for Multivariate Normal Distribution

Accepted Solution Solved
Reply
Frequent Contributor
Posts: 84
Accepted Solution

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.


Accepted Solutions
Solution
‎12-02-2016 04:10 PM
SAS Super FREQ
Posts: 3,405

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.

 

View solution in original post


All Replies
Solution
‎12-02-2016 04:10 PM
SAS Super FREQ
Posts: 3,405

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.

Need further help from the community? Please ask a new question.

Discussion stats
  • 1 reply
  • 184 views
  • 0 likes
  • 2 in conversation