Hi,
I'm trying to do a double integral on a nultivariate normal probability density function. The two variables I want to integrate over is U and K. I created a function (fun) with the formula for multivariate normal pdf and used this to performe the double integral. When I do it like this I only get errors. Is there an easier approach?
My code:
clc; clear all; close all; C = [23.875 15.75281; 15.75281 93.9842]; % C = [sigma_u^2 ro*sigma_u*sigma_k;...
ro*sigma_u*sigma_k sigma_k] mu_u = 1788.2058; mu_k = 70.8489; mu = [mu_u;mu_k]; fun = @(U,K) ((1/sqrt(det(C)*(2*pi)^2))*exp(-0.5*transpose([U;K]-mu)*inv(C)*([U;K]-mu))); q = integral2(fun,1700,1900,30,120);
Thanks!
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