Hi all,


I defined the function integrand as follows.

library(mnormt)

integrand <- function (rho, a, b,z, x, y){

                Sigma <- matrix(c(1, rho, rho, 1), 2,2)

         mu <- rep(0,2)

         f <- pnorm(c((z-a*x)/b, (z-a*y)/b), mu, Sigma)*dnorm(c(0,0), mu,
diag(2))

     f

         }

Then I would like to do the following:

1.       Take the integral of the function integrand with respect to x and
y. The integration limit is (-Inf, 1) for both x and y.

2.       This integral is then a function of (rho, a, b, z). I then want to
find the value of z that would make this integral to be equal to a
constant, say, 0.1, for specific rho, a and b.

Can anyone give some help on this? Thank you very much.

       Hanna

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