| Top | |
|
|
|
| double | invmills () |
| double | bvnorm_cdf () |
| gretl_matrix * | gretl_GHK () |
| gretl_matrix * | gretl_GHK2 () |
double
invmills (double x);
Adapted by putting together code from gsl and TDA (Univ. Bochum). The latter is, in turn, based on A. V. Swan, The Reciprocal of Mills's Ratio, Algorithm AS 17, Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 18, No. 1 (1969), 115-116.
double bvnorm_cdf (double rho,double a,double b);
rho |
correlation coefficient. |
|
a |
abscissa value, first Gaussian r.v. |
|
b |
abscissa value, second Gaussian r.v. |
for (x, y) a bivariate standard Normal rv with correlation
coefficient rho
, the joint probability that (x < a
) and (y < b
), or
NADBL on failure.
gretl_matrix * gretl_GHK (const gretl_matrix *C,const gretl_matrix *A,const gretl_matrix *B,const gretl_matrix *U,int *err);
Computes the GHK (Geweke, Hajivassiliou, Keane) approximation to the multivariate normal distribution function for n observations on m variates, using r draws.
C |
Cholesky decomposition of covariance matrix, lower triangular, m x m. |
|
A |
Lower bounds, n x m; in case a lower bound is minus infinity this should be represented as -1.0E10. |
|
B |
Upper bounds, n x m; in case an upper bound is plus infinity this should be represented as +1.0E10. |
|
U |
Uniform random matrix, m x r. |
gretl_matrix * gretl_GHK2 (const gretl_matrix *C,const gretl_matrix *A,const gretl_matrix *B,const gretl_matrix *U,gretl_matrix *dP,int *err);