6.3.7.1.8. statsmodels.sandbox.distributions.multivariate.mvnormcdf¶

statsmodels.sandbox.distributions.multivariate.mvnormcdf(upper, mu, cov, lower=None, **kwds)[source]¶

multivariate normal cumulative distribution function

This is a wrapper for scipy.stats.kde.mvn.mvndst which calculates a rectangular integral over a multivariate normal distribution.

Parameters:

lower, upper : array_like, 1d

lower and upper integration limits with length equal to the number of dimensions of the multivariate normal distribution. It can contain -np.inf or np.inf for open integration intervals

mu : array_lik, 1d

list or array of means

cov : array_like, 2d

specifies covariance matrix

optional keyword parameters to influence integration

maxpts
: int, maximum number of function values allowed. This
parameter can be used to limit the time. A sensible strategy is to start with maxpts = 1000*N, and then increase maxpts if ERROR is too large.

abseps : float absolute error tolerance.

releps : float relative error tolerance.

Returns:

cdfvalue : float

value of the integral