mvtcdfqmc
Quasi-Monte-Carlo computation of the multivariate Student’s T CDF.
The QMC multivariate Student’s t distribution is evaluated between the lower limit A and upper limit B of the hyper-rectangle with a correlation matrix Rho and degrees of freedom df.
| "TolFun" | — Maximum absolute error tolerance. Default is 1e-4. |
| "MaxFunEvals" | — Maximum number of integrand evaluations. Default is 1e7 for D > 4. |
| "Display" | — Display options. Choices are "off" (default), "iter", which shows the probability and estimated error at each repetition, and "final", which shows the final probability and related error after the integrand has converged successfully. |
[p, err, FunEvals] = mvtcdfqmc (…) returns the
estimated probability, p, an estimate of the error, err, and the
number of iterations until a successful convergence is met, unless the value
in MaxFunEvals was reached.
See also: mvtcdf, mvtpdf, mvtrnd
Source Code: mvtcdfqmc