function to get critical values of multivariat normal and t distributions

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Lee on 25 Dec 2014

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Answered: Star Strider on 25 Dec 2014

hi im in an advanced statistics course and i need to build confidence intervals for 3 constraints simultaneously at alph equal 0.05. i have made a multinormal distribution with 3 estimators but i need the critical value is there a function who does that and how to use it

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Answer 1

Star Strider on 25 Dec 2014

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https://www.mathworks.com/matlabcentral/answers/168086-function-to-get-critical-values-of-multivariat-normal-and-t-distributions#answer_163320

There are routines to calculate the multivariate normal probability, mvncdf, and t probability mvtcdf, but there are no inverse functions for them that I’m aware of.

You might be able to code the inverse yourself using the Optimization Toolbox fsolve function, assuming a unique inverse exists. I’ve never needed to do that, so I have no further suggestions.