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st: Multivariate Normal CDF
From
Ali Hashemi <[email protected]>
To
Stata listserv <[email protected]>
Subject
st: Multivariate Normal CDF
Date
Thu, 28 Mar 2013 12:11:39 -0400
Dear listserv members,
I'm trying to compute the normal cdf at 1000 points (each point is
defined by a combination of x1 and x2) using the following mean (mu)
and standard deviation (sigma).
mu=[ 3, -1 ]
sigma=[ 0.2, -0.1 \ -0.1, 0.4 ]
I know this can be easily done in MATLAB by P = normcdf(X,mu,sigma).
In Stata, I have used binormal(x1,x2,ro) function as follows:
gen ro= -.1 / (.2*.4)^.5
gen cdf=binormal( x1-3 , x2-(-1) , ro )
I have two questions:
1) Is this correct?
2) How can this be done for cases with more than two variables
(M-variate instead of bivariate)? Is there a more general approach
(like in MATLAB) that can be used for generating the joint cumulative
distribution of an M-variate normal distribution?
Your help is greatly appreciated
Ali
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