[R] Normal cdf modified function
dwinsemius at comcast.net
dwinsemius at comcast.net
Wed Feb 18 14:55:33 CET 2009
I would think this could be approached by segmenting the probability "volume" using identities such as these:
P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4) + P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 < Z4) =
P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 < Inf)
and
P(Y1 < Z1, Y2 < Z2, Y3 < Z3, Y4 <Inf) + P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 < Inf) =
P(Y1 < Z1, Y2 < Z2, Y3 <Inf, Y4 < Inf)
--
David Winsemius
Apologies for what will probably be an html formatted message
-------------- Original message ----------------------
From: Fernando Saldanha <fsaldan1 at gmail.com>
> I wonder if an R package would have a function that calculates the following.
>
> Let Y be a normal multivariate function. For example, let Y have 4
> dimensions. I want to calculate
>
> P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4).
>
> There are R functions to do the calculation if all the inequalities
> are of the type "<" (the cdf). But is there an R function where the
> two types of inequalities ("<" and ">") can be mixed? (The user would
> have to specify the set of indexes with inequalities of the type ">")
>
> Thanks for any suggestions.
>
> FS
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
More information about the R-help
mailing list