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From Phil Steitz <phil.ste...@gmail.com>
Subject Re: [math] multivariate cdf
Date Fri, 19 Oct 2012 13:54:46 GMT
On 10/19/12 12:20 AM, S├ębastien Brisard wrote:
> Hi Phil,
>
>> that might also force us to implement some useful multivariate
>> integration algorithms :)
>>
> Is there any, general purpose multidimensional integration algorithm?
> MC would be flexible enough, but I doubt this would be efficient enough...
> How would you define the domain? Would you restrict it to products of
> intervals, or more general domains?

I have not really looked into multivariate integration algorithms. 
Note that we do not provide this convenience now for univariate
distributions (though I did recently add some integration tests that
verify consistency of the distribution and density impls).  I would
define the cdf to take dimension vectors are arguments, so F(x_1,
..., x_n) = P(X_1 <=x_1, ..., X_n <= x_n).   Other things to
consider are marginal and conditional densities and distributions. 
Here again, defaults could in theory be provided; but without
actually hacking some examples, I am not sure it is practical.

Phil
>
> S├ębastien
>
>
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