[R] pmvnorm

Prof Brian Ripley ripley at stats.ox.ac.uk
Sat May 14 20:50:03 CEST 2005

On Sat, 14 May 2005, Dimitri Joe wrote:

> pmvnorm(lo=c(-Inf,-Inf), up=c(Inf,Inf), mean=c(0,0) )
> should give me "1", right? But it doens't - it giver me "0".
> Would someone help me, please?

Yes, but pmvnorm is in package 'mvtnorm' (uncredited here) so please 
discuss this with the package maintainer (Cc:ed here).

Extreme cases are often overlooked: I have this past week corrected 
several in R itself (so please do report them to the appropriate person). 
For now, please use something like

> In <- 1e100
> pmvnorm(lo=c(-In,-In), up=c(In,In), mean=c(0,0) )
[1] 1

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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