Multivariate normal distribution function — pmvn • mets

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