SAS/IML Software and Matrix Computations

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bibastat
Calcite | Level 5

I was wondering does SAS compute probability for multivariate F-distribution and if not is  there approximation to it. Thanx in advance

2 REPLIES 2
Rick_SAS
SAS Super FREQ

Do you have a reference? I've never heard of this distribution.

No, SAS doesn't compute this in a built-in way. In general CDFs of multivariate functions are quite challenging, since they involve multidimensional integrals. You can use the PROBBNRM function to compute the CDF of a bivariate normal distribution, but I am not aware of other MV probability functions.  See Visualize the bivariate normal cumulative distribution - The DO Loop

PGStats
Opal | Level 21

Are you referring to the F approximations used in multivariate analysis of variance (MANOVA) ?

PG

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