double integration with matlab?

FENG GUO — Wed, 23 Jul 2008 01:41:02 -0400

Hi, evvryone!

How to compute the following rectangle double integration
problem:
int_{-c}^{c} int_{-c}^{c} f(x,y) dy dx

where c is a given positive real value and f(x,y) is the
PDF function of the standard bivariate normal distribution,
i.e.,
f(x,y) = exp(-(x^2-2*r*x*y+y^2)/2/(1-r^2))/(2* pi* sqrt(1-
r^2))

thank you very much!

Re: double integration with matlab?

Bruno Luong — Wed, 23 Jul 2008 05:52:02 -0400

"FENG GUO" <GUO1972@2911.NET> wrote in message
<g6627e$kiu$1@fred.mathworks.com>...
> Hi, evvryone!
>
> How to compute the following rectangle double integration
> problem:
> int_{-c}^{c} int_{-c}^{c} f(x,y) dy dx
>
> where c is a given positive real value and f(x,y) is the
> PDF function of the standard bivariate normal distribution,
> i.e.,
> f(x,y) = exp(-(x^2-2*r*x*y+y^2)/2/(1-r^2))/(2* pi* sqrt(1-
> r^2))
>
> thank you very much!
>

You might consider to use exact formula (see function ERF)
in one dimension and numerical integration in the other (see
QUAD).

Bruno

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double integration with matlab?

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