truncated multivariate normal cumulative distribution
Description
computes an estimator and a deterministic upper bound of the probability Pr(l<X<u), where X is a zeromean multivariate normal vector with covariance matrix Σ, that is, X is drawn from N(0,Σ) infinite values for vectors u and l are accepted; Monte Carlo method uses sample size n;
Usage
1  mvNcdf(l, u, Sig, n)

Arguments
l 
lower truncation limit 
u 
upper truncation limit 
Sig 
covariance matrix of N(0,Σ) 
n 
Monte Carlo simulation effort — the larger the n, the smaller the relative error of the estimator. 
Details
Suppose you wish to estimate p=Pr(l<AX<u), where A is a full rank matrix and X is drawn from N(μ,Σ), then you simply compute p=Pr(lAμ<AY<uAμ), where Y is drawn from N(0, AΣ A^\top).
Value
est
with structure

estimated value of probability Pr(l<X<u) 

estimated relative error of estimator 

theoretical upper bound on true Pr(l<X<u) 
Note
For small dimensions, say d<50, better accuracy may be obtained by using
the (usually slower) quasiMonte Carlo version mvNqmc
of this algorithm.
Author(s)
Z. I. Botev, email: botev@unsw.edu.au and web page: http://web.maths.unsw.edu.au/~zdravkobotev/
References
Z. I. Botev (2015), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, submitted to JRSS(B)
See Also
See also: mvNqmc
and mvrandn
Examples
1 2 3 4 5 
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