Multivariate normal cumulative distribution
state-of-the-art algorithm for computing the multivariate normal cdf in high dimensions
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
Computes the probability Pr(l<X<u), where 'X' is a zero-mean multivariate normal vector with covariance 'Sig'.
In high dimensions, this algorithm is vastly superior to the one in Matlab's statistics toolbox, see example.
Reference: Z. I. Botev (2015), "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting", submitted to JRSS(B)
Cite As
Zdravko Botev (2026). Multivariate normal cumulative distribution (https://www.mathworks.com/matlabcentral/fileexchange/53583-multivariate-normal-cumulative-distribution), MATLAB Central File Exchange. Retrieved .
Acknowledgements
General Information
- Version 1.1.0.0 (9.9 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
