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Multivariate F-distribution

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Occasional Contributor
Posts: 7

Multivariate F-distribution

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

SAS Super FREQ
Posts: 3,413

Re: Multivariate F-distribution

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

Respected Advisor
Posts: 4,608

Re: Multivariate F-distribution

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

PG
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