Tag Archives: coordinate
Probability of multivariate normal being positive on each coordinate
How can I find the probability that each coordinate of a specified multivariate normal distribution is positive? I tried the following, which I believed should work
mu = {0, 0, 0};
sigma = {{2, 1, 1}, {1, 2, 1}, {1, 1, 2}};
Probability[
x > 0 && y > 0 && z > 0, {x, y, z} \[Distributed]
MultinormalDistribution[mu, sigma]]
Unfortunately, for the output I just get the last line from the input (with mu and sigma replaced by their actual values). I don’t see where the problem could possibly be since the matrix is positive definite. If I replace it by the identity matrix everything works fine.
Recommended article: Chomsky: We Are All – Fill in the Blank.
This entry passed through the Full-Text RSS service – if this is your content and you’re reading it on someone else’s site, please read the FAQ at fivefilters.org/content-only/faq.php#publishers.