Multivariate Normal CDF in Python using scipy

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不思量自难忘°
不思量自难忘° 2020-12-06 01:36

In order to calculate the CDF of a multivariate normal, I followed this example (for the univariate case) but cannot interpret the output produced by scipy:

         


        
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  •  春和景丽
    2020-12-06 01:46

    If you don't care about performance (i.e. perform it only occasionally), then you can create the multivariate normal pdf using multivariate_normal, and then calculate the cdf by integrate.nquad

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