statsmodels.sandbox.distributions.extras.mvnormcdf(upper, mu, cov, lower=None, **kwds)[source]

multivariate normal cumulative distribution function

This is a wrapper for scipy.stats.kde.mvn.mvndst which calculates a rectangular integral over a multivariate normal distribution.

  • upper (lower,) – lower and upper integration limits with length equal to the number of dimensions of the multivariate normal distribution. It can contain -np.inf or np.inf for open integration intervals
  • mu (array_lik, 1d) – list or array of means
  • cov (array_like, 2d) – specifies covariance matrix
  • keyword parameters to influence integration (optional) –
    • maxpts : int, maximum number of function values allowed. This
      parameter can be used to limit the time. A sensible strategy is to start with maxpts = 1000*N, and then increase maxpts if ERROR is too large.
    • abseps : float absolute error tolerance.
    • releps : float relative error tolerance.

cdfvalue – value of the integral

Return type:



This function normalizes the location and scale of the multivariate normal distribution and then uses mvstdnormcdf to call the integration.

See also

location and scale standardized multivariate normal cdf