Title: | Vectorized Bivariate Normal CDF |
---|---|
Description: | Provides a vectorized R function for calculating probabilities from a standard bivariate normal CDF. |
Authors: | Fortran code by Alan Genz. R code by Brenton Kenkel, based on Adelchi Azzalini's 'mnormt' package. |
Maintainer: | Brenton Kenkel <[email protected]> |
License: | GPL (>= 2) |
Version: | 0.6.0 |
Built: | 2024-09-04 03:21:11 UTC |
Source: | https://github.com/brentonk/pbivnorm |
Calculate probabilities from the CDF of a standard bivariate normal distribution.
pbivnorm(x, y, rho = 0, recycle = TRUE)
pbivnorm(x, y, rho = 0, recycle = TRUE)
x |
vector of upper integration limits for the CDF. May also be a
two-column matrix, in which case |
y |
vector of upper integration limits. |
rho |
correlation parameter. |
recycle |
whether to automatically recycle the vectors |
This function returns values identical to those of biv.nt.prob
in the
mnormt package, but is vectorized to reduce the number of Fortran
calls required for computation of many probabilities.
Numeric vector of probabilities.
Fortran code by Alan Genz (see references). R interface by Brenton Kenkel ([email protected]), based on code from Adelchi Azzalini's mnormt package.
Genz, A. (1992). Numerical Computation of Multivariate Normal Probabilities. J. Computational and Graphical Statist., 1, 141–149.
Genz, A. (1993). Comparison of methods for the computation of multivariate normal probabilities. Computing Science and Statistics, 25, 400–405.
Genz, A. Fortran code for MVTDSTPACK
available at
http://www.math.wsu.edu/math/faculty/genz/software/fort77/mvtdstpack.f
(as of 2011-02-21).
x <- rnorm(10) y <- rnorm(10) rho <- runif(10) pbivnorm(x, y, rho) X <- cbind(x, y) pbivnorm(X, rho = rho) ## rho can be a single value, unless recycling is disallowed rho <- runif(1) pbivnorm(x, y, rho)
x <- rnorm(10) y <- rnorm(10) rho <- runif(10) pbivnorm(x, y, rho) X <- cbind(x, y) pbivnorm(X, rho = rho) ## rho can be a single value, unless recycling is disallowed rho <- runif(1) pbivnorm(x, y, rho)