Path: news.mathworks.com!not-for-mail From: <HIDDEN> Newsgroups: comp.soft-sys.matlab Subject: Re: Integrate Bivariate Lognormal Date: Sun, 26 Sep 2010 20:52:04 +0000 (UTC) Organization: The MathWorks, Inc. Lines: 26 Message-ID: <i7obpk$p5t$1@fred.mathworks.com> References: <i7k11p$jtt$1@fred.mathworks.com> <i7mean$20d$1@fred.mathworks.com> Reply-To: <HIDDEN> NNTP-Posting-Host: webapp-02-blr.mathworks.com Content-Type: text/plain; charset=UTF-8; format=flowed Content-Transfer-Encoding: 8bit X-Trace: fred.mathworks.com 1285534324 25789 172.30.248.37 (26 Sep 2010 20:52:04 GMT) X-Complaints-To: news@mathworks.com NNTP-Posting-Date: Sun, 26 Sep 2010 20:52:04 +0000 (UTC) X-Newsreader: MATLAB Central Newsreader 2521870 Xref: news.mathworks.com comp.soft-sys.matlab:673354 Roger, thank you very much for your suggestion. I really appreciate it. That function will work well. Right now, I am trying to use the multivariate normal, to check my understanding of the functions dblquad, quad2d, before I move on to the bivariate lognormal, which is what I'm really interested in. Do you happen to know if there is a way to use mvncdf.m with variable limits on the inner integration, for a bivariate normal. That would be helpful for me to check what I'm doing. I looked at the documentation, it appears to me that the function only allowed fixed limits of integration, and I can't think of a creative way to get around that. Thanks for all of your help. All the best, Bob "Roger Stafford" <ellieandrogerxyzzy@mindspring.com.invalid> wrote in message <i7mean$20d$1@fred.mathworks.com>... > "Bob Johnson" <michorig@yahoo.com> wrote in message <i7k11p$jtt$1@fred.mathworks.com>... > > Hi, > > > > I have a question about integrating a bivariate lognormal distirbution. Suppose the inner integral is over x and the outer integral is over y. I would like to integrate the bivariate lognormal over x from 0 to a function of y, and y from 0 to infinity (i.e. - a large number). Does anyone know the best way to do this? If you can point me in the direction of some code that you think accomplishes this, I would really appreciate. I tried to do a change of variables and then calculate the resulting double integral over the resulting region with the dblquad function, but the result I get is greater than 1, so that can't be correct. Any help would be greatly appreciated. > > > > Thanks. > > > > All the best, > > Bob > - - - - - - - - - - - > The quad2d function computes a double integral in which the inner integration limits are allowed to be variable. That should be very convenient for you. > > As for your attempt to make a change of variables, did you make a correction with the appropriate Jacobian? If you did this correctly, that should also give you a valid integration with dblquad. > > Roger Stafford