[R] Normal cdf modified function
I wonder if an R package would have a function that calculates the following. Let Y be a normal multivariate function. For example, let Y have 4 dimensions. I want to calculate P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4). There are R functions to do the calculation if all the inequalities are of the type "<" (the cdf). But is there an R function where the two types of inequalities ("<" and ">") can be mixed? (The user would have to specify the set of indexes with inequalities of the type ">") Thanks for any suggestions. FS __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Normal cdf modified function
I would think this could be approached by segmenting the probability "volume" using identities such as these: P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4) + P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 < Z4) = P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 < Inf) and P(Y1 < Z1, Y2 < Z2, Y3 < Z3, Y4 Z3, Y4 < Inf) = P(Y1 < Z1, Y2 < Z2, Y3 > I wonder if an R package would have a function that calculates the following. > > Let Y be a normal multivariate function. For example, let Y have 4 > dimensions. I want to calculate > > P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4). > > There are R functions to do the calculation if all the inequalities > are of the type "<" (the cdf). But is there an R function where the > two types of inequalities ("<" and ">") can be mixed? (The user would > have to specify the set of indexes with inequalities of the type ">") > > Thanks for any suggestions. > > FS > > __ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Normal cdf modified function
> Let Y be a normal multivariate function. For example, let Y have 4 > dimensions. I want to calculate > > P(Y1 < Z1, Y2 < Z2, Y3 > Z3, Y4 > Z4). > > There are R functions to do the calculation if all the inequalities > are of the type "<" (the cdf). But is there an R function where the The cdf, and some elementary algebra, is enough to compute the probability you are interested in. > two types of inequalities ("<" and ">") can be mixed? (The user would > have to specify the set of indexes with inequalities of the type ">") Giovanni -- Giovanni Petris Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/ __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.