I was wondering whether there is a SAS/IML function for obtaining tail probabilities of a multivariate Normal RV? Rick has blogged extensively about sampling from a MVN (thanks Rick!) but I can’t find anything about tail probabilities.In essence I am looking for what this package provides in R:
Thanks for your reply. I was aware of the Genz & Bretz modules but hoped that there was a (hidden) build-in function that I missed.
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