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mvnprodcorrprbmex   Windows

PURPOSE ^

Computes multivariate normal probability

SYNOPSIS ^

This is a script file.

DESCRIPTION ^

 MVNPRODCORRPRBMEX Computes multivariate normal probability  
                 with product correlation structure. 
  
   CALL [value,error,inform]=mvnprodcorrprbmex(rho,A,B,abseps,releps,useBreakPoints); 
  
      RHO    REAL, array of coefficients defining the correlation 
             coefficient by: 
                 correlation(I,J) =  RHO(I)%RHO(J) for J/=I 
             where  
                 1 <= RHO(I) <= 1 
      A         REAL, array of lower integration limits. 
      B         REAL, array of upper integration limits. 
            NOTE: any values greater the 10, are considered as 
                    infinite values. 
      ABSEPS REAL absolute error tolerance. 
      RELEPS REAL relative error tolerance. 
      USEBREAKPOINTS = 1 If extra integration points should be used 
                         around possible singularities 
                       0 If no extra 
    
      ERROR  REAL estimated absolute error, with 99% confidence level. 
      VALUE  REAL estimated value for the integral 
      INFORM INTEGER, termination status parameter: 
             if INFORM = 0, normal completion with ERROR < EPS; 
             if INFORM = 1, completion with ERROR > EPS and MAXPTS  
                            function vaules used; increase MAXPTS to  
                            decrease ERROR; 
  
  
  This file was successfully compiled for matlab 5.3 
  using Compaq Visual Fortran 6.1, and Windows 2000. 
  The example here uses Fortran77 source. 
  First, you will need to modify your mexopts.bat file. 
  To find it, issue the command prefdir(1) from the Matlab command line, 
  the directory it answers with will contain your mexopts.bat file. 
  Open it for editing. The first section will look like: 
  
 rem %%%%%%%%%*********************************************************** 
 rem General parameters 
 rem ******************************************************************** 
 set MATLAB=%MATLAB% 
 set DF_ROOT=C:\Program Files\Microsoft Visual Studio 
 set VCDir=%DF_ROOT%\VC98 
 set MSDevDir=%DF_ROOT%\Common\msdev98 
 set DFDir=%DF_ROOT%\DF98 
 set PATH=%MSDevDir%\bin;%DFDir%\BIN;%VCDir%\BIN;%PATH% 
 set INCLUDE=%DFDir%\INCLUDE;%DFDir%\IMSL\INCLUDE;%INCLUDE% 
 set LIB=%DFDir%\LIB;%VCDir%\LIB 
  
  then you are ready to compile this file at the matlab prompt using the 
  following command: 
   mex -O mvnprodcorrprbmex.f

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

001  
002 %MVNPRODCORRPRBMEX Computes multivariate normal probability  
003 %                with product correlation structure. 
004 % 
005 %  CALL [value,error,inform]=mvnprodcorrprbmex(rho,A,B,abseps,releps,useBreakPoints); 
006 % 
007 %     RHO    REAL, array of coefficients defining the correlation 
008 %            coefficient by: 
009 %                correlation(I,J) =  RHO(I)%RHO(J) for J/=I 
010 %            where  
011 %                1 <= RHO(I) <= 1 
012 %     A         REAL, array of lower integration limits. 
013 %     B         REAL, array of upper integration limits. 
014 %           NOTE: any values greater the 10, are considered as 
015 %                   infinite values. 
016 %     ABSEPS REAL absolute error tolerance. 
017 %     RELEPS REAL relative error tolerance. 
018 %     USEBREAKPOINTS = 1 If extra integration points should be used 
019 %                        around possible singularities 
020 %                      0 If no extra 
021 %   
022 %     ERROR  REAL estimated absolute error, with 99% confidence level. 
023 %     VALUE  REAL estimated value for the integral 
024 %     INFORM INTEGER, termination status parameter: 
025 %            if INFORM = 0, normal completion with ERROR < EPS; 
026 %            if INFORM = 1, completion with ERROR > EPS and MAXPTS  
027 %                           function vaules used; increase MAXPTS to  
028 %                           decrease ERROR; 
029 % 
030 % 
031 % This file was successfully compiled for matlab 5.3 
032 % using Compaq Visual Fortran 6.1, and Windows 2000. 
033 % The example here uses Fortran77 source. 
034 % First, you will need to modify your mexopts.bat file. 
035 % To find it, issue the command prefdir(1) from the Matlab command line, 
036 % the directory it answers with will contain your mexopts.bat file. 
037 % Open it for editing. The first section will look like: 
038 % 
039 %rem %%%%%%%%%*********************************************************** 
040 %rem General parameters 
041 %rem ******************************************************************** 
042 %set MATLAB=%MATLAB% 
043 %set DF_ROOT=C:\Program Files\Microsoft Visual Studio 
044 %set VCDir=%DF_ROOT%\VC98 
045 %set MSDevDir=%DF_ROOT%\Common\msdev98 
046 %set DFDir=%DF_ROOT%\DF98 
047 %set PATH=%MSDevDir%\bin;%DFDir%\BIN;%VCDir%\BIN;%PATH% 
048 %set INCLUDE=%DFDir%\INCLUDE;%DFDir%\IMSL\INCLUDE;%INCLUDE% 
049 %set LIB=%DFDir%\LIB;%VCDir%\LIB 
050 % 
051 % then you are ready to compile this file at the matlab prompt using the 
052 % following command: 
053 %  mex -O mvnprodcorrprbmex.f 
054

Mathematical Statistics
Centre for Mathematical Sciences
Lund University with Lund Institute of Technology

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