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pmvnorm
2 messages · Dimitri Joe, Brian Ripley
On Sat, 14 May 2005, Dimitri Joe wrote:
pmvnorm(lo=c(-Inf,-Inf), up=c(Inf,Inf), mean=c(0,0) ) should give me "1", right? But it doens't - it giver me "0". Would someone help me, please?
Yes, but pmvnorm is in package 'mvtnorm' (uncredited here) so please discuss this with the package maintainer (Cc:ed here). Extreme cases are often overlooked: I have this past week corrected several in R itself (so please do report them to the appropriate person). For now, please use something like
In <- 1e100 pmvnorm(lo=c(-In,-In), up=c(In,In), mean=c(0,0) )
[1] 1
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595