New Features for Mx 1.15

Multiple integration of the multinormal distribution.

The matrix function \mnor will compute multiple integrals of the multivariate normal, up to dimension 10.

   Test mulnor function
   data calc ng=1
   matrices
   a full 1 2 ! Upper limits
   b full 1 2 ! Lower limits
   t full 1 2 ! Type of integral
   r stan 2 2 ! Covariance matrix
   z full 1 2 ! Means
   compute \mnor((r_z_a_b_t)) /
   matrix r .3
   matrix b 0 0
   matrix a 1 1
   matrix t 2 2
   option rs
   end

This script will compute the integral of the bivariate normal distribution with correlation .3 from 0 to 1 in both dimensions. The type parameter is currently configured to work as follows

0 integral from a to infinity
1 integral from -infinity to a
2 integral from a to b
3 integral from -infinity to +infinity (this dimension is ignored)

Mike Neale, neale@gems.vcu.edu, Medical College of VA