public static double CNorm(Vector x, Matrix correlation)
{
Vector minus_infinity = new Vector(x.cols);
for (int i = 0; i < x.cols; ++i)
{
minus_infinity[i] = -1E10;
}
GenzMultivariate gm = new GenzMultivariate(correlation);
return(gm.getProb(minus_infinity, x, 2.5, 0.001, 10000));
}
public static void TestHarness2D()
{
Matrix correlation = new Matrix(2, 2);
correlation.setIdentity();
correlation[0, 1] = correlation[1, 0] = 0.2;
Vector a = new Vector(2);
a[0] = -1E10;
a[1] = -1E10;
Vector b = new Vector(2);
b[0] = 0.1;
b[1] = 0.1;
GenzMultivariate genzmultivariate = new GenzMultivariate(correlation);
Console.WriteLine("Prob is {0} and should be 0.323170477981", genzmultivariate.getProb(a, b, 2.5, 1E-5, 100000));
}
public static void TestHarness3D()
{
Matrix correlation = new Matrix(3, 3);
correlation.setIdentity();
correlation[0, 1] = correlation[1, 0] = 3.0 / 5.0;
correlation[0, 2] = correlation[2, 0] = 1.0 / 3.0;
correlation[1, 2] = correlation[2, 1] = 11.0 / 15.0;
Vector a = new Vector(3);
a[0] = -1E10;
a[1] = -1E10;
a[2] = -1E10;
Vector b = new Vector(3);
b[0] = 1.0;
b[1] = 4.0;
b[2] = 2.0;
GenzMultivariate genzmultivariate = new GenzMultivariate(correlation);
Console.WriteLine("Prob is {0} and should be 0.82798", genzmultivariate.getProb(a, b, 2.5, 1E-5, 100000));
}
