statsmodels.sandbox.distributions.extras.mvnormcdf¶

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

multivariate normal cumulative distribution function

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

Parameters:

lower (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
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
integration (optional keyword parameters to influence) –
- maxptsint, 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 – value of the integral

Return type:

float

Notes

This function normalizes the location and scale of the multivariate normal distribution and then uses mvstdnormcdf to call the integration.