Date: Oct 29, 2013 11:25 AM
Author: marco
Subject: Probability in a bi-variate normal gaussian distribution

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