Truncated multivariate normal cumulative distribution
Computes an estimate and a deterministic upper bound of the probability Pr(l<X<u), where X is a zero-mean multivariate normal vector with covariance matrix Σ, that is, X is drawn from N(0,Σ). Infinite values for vectors u and l are accepted. The Monte Carlo method uses sample size n; the larger n, the smaller the relative error of the estimator.
mvNcdf(l, u, Sig, n = 1e+05)
l |
lower truncation limit |
u |
upper truncation limit |
Sig |
covariance matrix of N(0,Σ) |
n |
number of Monte Carlo simulations |
Suppose you wish to estimate Pr(l<AX<u), where A is a full rank matrix and X is drawn from N(μ,Σ), then you simply compute Pr(l-Aμ<AY<u-Aμ), where Y is drawn from N(0, AΣ A^\top).
a list with components
prob: estimated value of probability Pr(l<X<u)
relErr: estimated relative error of estimator
upbnd: theoretical upper bound on true Pr(l<X<u)
For small dimensions, say d<50, better accuracy may be obtained by using
the (usually slower) quasi-Monte Carlo version mvNqmc of this algorithm.
Zdravko I. Botev
Z. I. Botev (2017), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, Journal of the Royal Statistical Society, Series B, 79 (1), pp. 1–24.
d <- 15; l <- 1:d; u <- rep(Inf, d); Sig <- matrix(rnorm(d^2), d, d)*2; Sig=Sig %*% t(Sig) mvNcdf(l, u, Sig, 1e4) # compute the probability
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