| omxMnor {OpenMx} | R Documentation |
Given a covariance matrix, a means vector, and vectors of lower and upper bounds, returns the multivariate normal integral across the space between bounds.
omxMnor(cov, means, lbounds, ubounds)
cov |
the covariance matrix describing the multivariate normal distribution. |
means |
a row vector containing means of the variables of the underlying distribution. |
lbounds |
a row vector containing the lower bounds of the integration in each variable. |
ubounds |
a row vector containing the upper bounds of the integration in each variable. |
The order of columns in the means, lbounds, and ubounds vector are assumed to be the same as that of the covariance matrix. That is, means[i] is considered to be the mean of the variable whose variance is in cov[i,i]. That variable will be integrated from lbounds[i] to ubounds[i] as part of the integration.
The value of ubound[i] or lbound[i] may be set to Inf or -Inf if a boundary at positive or negative infinity is desired.
For all i, ubound[i] must be strictly greater than lbound[i].
data(myFAData) cov <- cov(myFAData[,1:3]) means <- mean(myFAData[,1:3]) lbounds <- c(-Inf, 0, 1) # Integrate from -Infinity to 0 on first variable ubounds <- c(0, Inf, 2.5) # From 0 to +Infinity on second, and from 1 to 2.5 on third omxMnor(cov, means, lbounds, ubounds)