Multivariate normal cumulative distribution (QMC)
state-of-the-art algorithm for computing the multivariate normal cdf in medium dimensions
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Computes the probability Pr(l<X<u), where 'X' is a zero-mean multivariate normal vector with covariance 'Sig'.
In medimum to high dimensions using Quasi Monte Carlo. This algorithm is 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 (QMC) (https://uk.mathworks.com/matlabcentral/fileexchange/53697-multivariate-normal-cumulative-distribution-qmc), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Multivariate normal cumulative distribution
Inspired: Normal Quantile with Precision
General Information
- Version 1.0.0.0 (9.85 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | Added a picture to submission. |
