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, email@example.com, Medical College of VA