cdf of multivariate normal random numbers
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Hi
I want to find the cdf of a set of 1000 bivariate normal random numbers that are generated by
X=mvnrnd([3,12],[1,.2;.2,1],1000);
To obtain the cdf for a 1d distribution, I can evaluate the cumsum of the probability of each sample after the samples have been sorted in ascending order. But I am confused on how to do this for a bivariate or (for greater dimension) case. I appreciate you help on this.
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Shashank Prasanna
2013 年 8 月 8 日
Did you try mvncdf?
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Shashank Prasanna
2013 年 8 月 8 日
It is correct for what it is doing. Also, you already have the means and covariance:
[3,12] and [1,0.3;0.3,1]
1) You don't don't have to re estimate them you can use them directly.
2) MVNCDF expects the Covariance and not correlation matrix. Use COV function instead.
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