[Scilab-users] n dimensional normal distribution

[Stéphane Mottelet]

Le 19/03/2018 à 13:15, fujimoto2005 a écrit :
> Dear Chan
> Thank for your reply.
>
> " the product of the Qs for all your single component. " is a right answer
> only when xis are independent.
> I am looking for the function when they are not independent.
>
> Best regards.
>
>
>
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Hello,

R implements this in  the "TruncatedNormal" package 
(https://cran.r-project.org/web/packages/TruncatedNormal/) :

The routines include (Quasi-) Monte Carlo estimator and a deterministic 
upper bound of the cumulative distribution
function of the multivariate normal.

hth

S.

-- 
Stéphane Mottelet
Ingénieur de recherche
EA 4297 Transformations Intégrées de la Matière Renouvelable
Département Génie des Procédés Industriels
Sorbonne Universités - Université de Technologie de Compiègne
CS 60319, 60203 Compiègne cedex
Tel : +33(0)344234688
http://www.utc.fr/~mottelet