Hello,
I have recently used the command cdfMvn() for obtaining multivariate normal CDF of a random vector z=[z1,...,zT]. However, I noticed that it T<=8, running the code below:
T=8;
ulim = zeros(T,1);
corr = eye(T);
p = cdfMvn(ulim, corr);
p;
it takes about 33 secs in my laptop. If I change T to be 10, it takes 2 mins, and if T=22, then GAUSS returns '.' as a result, which seems to be an empty value.
I am confused about this result and I would be appreciate if anyone can give me a solution of this issue.
Thank you so much in advance.
1 Answer
0
cdfMVne is much, much faster than cdfMVn. For your example on my Macbook, cdfMVn takes about 12 seconds and cdfMVne takes about 0.00094 seconds. I would recommend creating a procedure to wrap cdfMVne and make it simpler for repeated use. Note that cdfMVne has options to control the tolerance for convergence. However, with default settings I get the expected answer 0.5^8 = 0.00390625.
Your Answer
1 Answer
cdfMVne is much, much faster than cdfMVn. For your example on my Macbook, cdfMVn takes about 12 seconds and cdfMVne takes about 0.00094 seconds. I would recommend creating a procedure to wrap cdfMVne and make it simpler for repeated use. Note that cdfMVne has options to control the tolerance for convergence. However, with default settings I get the expected answer 0.5^8 = 0.00390625.