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Multivariate Normal Equicoordinate Cumulative Distribution Function

Source: R/multz.R
multp.Rd

Computes the joint CDF for a multivariate standard normal distribution with unit variances and a common correlation coefficient rho. It is the exact functional inverse of multz: multp(multz(q, k, rho), k, rho) == q.

Usage

multp(q, k, rho, lower.tail = TRUE, seed = NULL)

Arguments

q

Numeric. Quantile of the distribution.

k

Integer. Number of variables in the multivariate normal distribution. Must be >= 1.

rho

Numeric. Common correlation coefficient between variables (typically between 0 and 1).

lower.tail

Logical. If TRUE (default), probability is \(P(X \le q)\); if FALSE, \(P(X > q)\). Mirrors pnorm.

seed

Optional. An object specifying if and how the random number generator should be initialized. Passed to pmvnorm.

Value

Numeric. The joint cumulative probability.

Examples

q <- 1.3      
k <- 3        
rho <- 0.5    
multp(q, k, rho)
#> [1] 0.7876844