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Multivariate Normal Tail probabilities

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Occasional Contributor
Posts: 17

Multivariate Normal Tail probabilities

Hello,

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:

http://cran.r-project.org/web/packages/mnormt/mnormt.pdf

Many thanks

SAS Super FREQ
Posts: 3,390

Multivariate Normal Tail probabilities

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.

Rick

Occasional Contributor
Posts: 17

Re: Multivariate Normal Tail probabilities

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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