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# mvnprodcorrprbmex

## 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,
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:
 mvnormpcprb Multivariate Normal probabilities with product correlation

## 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

Comments or corrections to the WAFO group

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