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Topic: Probability in a bi-variate normal gaussian distribution
Replies: 7   Last Post: Nov 4, 2013 9:04 AM

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Torsten

Posts: 1,439
Registered: 11/8/10
Re: Probability in a bi-variate normal gaussian distribution
Posted: Oct 30, 2013 4:13 AM
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"marco" wrote in message <l4ok0j$m45$1@newscl01ah.mathworks.com>...
> Dear all,
>
> i have a problem regarding the computation of a probability under a bidimensional gaussian distribution. I figured out that exploiting the mvncdf() function i'm able to compute the probability under rectangular area or under a semi-plane whose constraint be parallel to X or Y axis (P < x1 , P < y1).
>
> Now my problem is, how can i compute the probability under a semi-plane whose constraint is not parallel to X or Y axis. This could be very important to my work because my final goal is to compute the probability over a whatever polygonal area (not rectangular or square).
>
> I really appreciate if someone can help me.
>
> many thanks
>
> Regards


Integrating the bivariate normal distribution over arbitrarily defined regions in 2d seems to me is such a fundamental problem in statistics that a google search should help.

Best wishes
Torsten.



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