The DO Loop
Statistical programming in SAS with an emphasis on SAS/IML programs
This is the last article in a series about computing probabilities for the multivariate normal distribution. A previous article shows how to compute the probability of a standardized multivariate normal (MVN) distribution in an orthant for dimensions k=1, 2, and 3 by using the Childs-Sun formulas. The formulas are exact
In general, it is very difficult to compute a probability for a multivariate continuous distribution. For all continuous distributions, the probability requires solving a complicated multiple integral. For example, the probability for a bivariate normal distribution requires integrating the bivariate normal density over a two-dimensional (2-D) area. The probability for
A course in elementary statistics always introduces the "Z-score." A Z-score is the result of standardizing a normally distributed random variable. By subtracting the distribution's mean and dividing by its standard deviation, you transform a general normal random variable into a standardized variable that has zero mean and unit standard