01-10-2012 11:20 AM
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:
01-10-2012 03:01 PM
For 1D, use the CDF function. For 2D, use the PROBBNRM function. For higher dimensions, Genz's 1992 algorithm was implemented in IML by Bretz: http://www.biostat.uni-hannover.de/89.html Somerville and Bretz also have a 2001 algorithm that is available on the same web site.
I haven't used the high-D algorithms, so I can't speak to their efficiency.