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LeonAtWilmott
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Posts: 51
Joined: January 14th, 2009, 7:01 pm

MatLab code of bivariate and trivariate normal ???

July 8th, 2010, 12:57 pm

Hi everyone,Is there anyone here having the "MatLab code" of the cumulative distribution function of bivariate and trivarite normal distribution? I know there are codes in ESPEN's book. However those are in VBA. I also realise Mathwork has the codes in the Statistical tool box. But my university does not purchase its license. So if anyone of you has the MatLab code (or the link) and is willing to share, I will be super grateful for your kindness.If the code is based on Genz's 2004 papaer, I will be even more touched by your mercy. Thanks in advance.
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

MatLab code of bivariate and trivariate normal ???

July 8th, 2010, 1:11 pm

VBA to Matlab translation should be quite trivial also might want to check mathworks: http://www.mathworks.com/matlabcentral/fileexchange/
 
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LeonAtWilmott
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Posts: 51
Joined: January 14th, 2009, 7:01 pm

MatLab code of bivariate and trivariate normal ???

July 8th, 2010, 1:54 pm

Dear Hansi,I know it is trivial. But the annoying bit is there are two 10X3 matrices both including 14-decimal number in all components, which are needed to be inputted manually and correctly. But, if there is no one willing to share, I guess I have no choice but doing it with my non-nimble fingers. Anyway, thanks.
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

MatLab code of bivariate and trivariate normal ???

July 8th, 2010, 2:17 pm

Doesn't Espen's book come with a CD with the code that you can just copy over?
 
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LeonAtWilmott
Topic Author
Posts: 51
Joined: January 14th, 2009, 7:01 pm

MatLab code of bivariate and trivariate normal ???

July 8th, 2010, 2:38 pm

Ya, good idea, I am such an idiot. Thanks again.
 
 
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rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

MatLab code of bivariate and trivariate normal ???

November 30th, 2010, 2:38 pm

See Genz's implementation in Matlab at his website: http://www.math.wsu.edu/faculty/genz/so ... Cheers,Ram
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