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Subject: Re: Integrate Bivariate Lognormal
Date: Sun, 26 Sep 2010 20:52:04 +0000 (UTC)
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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