Dear R-help, Is the following a bug of pmvnorm? R<-matrix(c(1,.5,.5,1),2,2) pmvnorm(lower=c(-Inf,-Inf),upper=c(Inf,Inf),corr=R) It returns, [1] 0 attr(,"error") [1] 0 attr(,"msg") [1] "Normal Completion" But I think it should return 1. Yung-jui
Looks like a bug (in mvt()?). Note that pmvnorm(lower = c(-Inf, -Inf), upper = c(Inf, 10)) works as expected, as does replacing any of the 4 Infs with a finite value. Function sadmvn() in pkg:mnormt does give 1 with Inf lower/uppers. Peter Ehlers Daniel Yang wrote:> Dear R-help, > > Is the following a bug of pmvnorm? > > R<-matrix(c(1,.5,.5,1),2,2) > pmvnorm(lower=c(-Inf,-Inf),upper=c(Inf,Inf),corr=R) > > It returns, > > [1] 0 > attr(,"error") > [1] 0 > attr(,"msg") > [1] "Normal Completion" > > But I think it should return 1. > > Yung-jui > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
On Sat, 27 May 2006, P Ehlers wrote:> Looks like a bug (in mvt()?). Note that > > pmvnorm(lower = c(-Inf, -Inf), upper = c(Inf, 10)) > > works as expected, as does replacing any of the 4 Infs with a finite > value. > > Function sadmvn() in pkg:mnormt does give 1 with Inf lower/uppers. >yes, looks like a bug. Thanks for reporting, will fix it *asap* Best, Torsten> Peter Ehlers > > > Daniel Yang wrote: > >> Dear R-help, >> >> Is the following a bug of pmvnorm? >> >> R<-matrix(c(1,.5,.5,1),2,2) >> pmvnorm(lower=c(-Inf,-Inf),upper=c(Inf,Inf),corr=R) >> >> It returns, >> >> [1] 0 >> attr(,"error") >> [1] 0 >> attr(,"msg") >> [1] "Normal Completion" >> >> But I think it should return 1. >> >> Yung-jui >> >> ______________________________________________ >> R-help at stat.math.ethz.ch mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide! >> http://www.R-project.org/posting-guide.html > >