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[Octave-bug-tracker] [bug #44130] mvncdf outputs different results for s
From: |
Andrej |
Subject: |
[Octave-bug-tracker] [bug #44130] mvncdf outputs different results for same input parameters |
Date: |
Wed, 22 Jul 2015 18:02:10 +0000 |
User-agent: |
Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/41.0.2272.105 Safari/537.36 Vivaldi/1.0.162.9 |
Follow-up Comment #1, bug #44130 (project octave):
Hi Pham,
I believe this is not a bug but a matter of precision.
The function always(*) uses a Monte Carlo method to approximate the integrals,
that runs until error is smaller than a predefined precision of 1e-3. Look at
the variable 'error'
[p,error] = mvncdf(x, mu, sigma).
best, Andrej
(*) unlike Matlab that uses adaptive quadrature for 2- and 3- dimensional
data. It would be nice to have this in Octave, too, since it is faster than
Monte Carlo.
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