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Aug 14

Multivariate normal CDF

Posted by abiao at 07:47 | Code » Matlab | Comments(1) | Reads(11076)
As a generalization of the normal or Gauss distribution to many dimensions we define the multinormal distribution. In statistics,  the multivariate normal (mvn) is a widely-used distribution, for instance, basket option pricing, portfolio VaR analysis. Unluckily, its cumulative distribution function (cdf) doesn't take a closed form. There are, nevertheless, amounts of techniques that numerically approximate the value of the cdf.

Here is one of such methods in M file.

wiki(Multivariate normal distribution)

Quite neat and also exact, things are all in the proper place.
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