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
Multivariate Normal probabilities with product correlation |
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
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