Multivariate normal distribution function
pmvn(lower, upper, mu, sigma, cor = FALSE)
Arguments
- lower
lower limits
- upper
upper limits
- mu
mean vector
- sigma
variance matrix or vector of correlation coefficients
- cor
if TRUE sigma is treated as standardized (correlation matrix)
Examples
lower <- rbind(c(0,-Inf),c(-Inf,0))
upper <- rbind(c(Inf,0),c(0,Inf))
mu <- rbind(c(1,1),c(-1,1))
sigma <- diag(2)+1
pmvn(lower=lower,upper=upper,mu=mu,sigma=sigma)
#> [1] 0.1265479 0.5361516