Status of CDF for the Multivariate Normal Distribution?

General
1

Hey Everyone,

Apologies if this is a silly question.
I was chatting with a colleague about Stan this week who bemoaned the lack of a multivariate normal CDF. Checking the manual, it would appear he is correct – we have CDF for many distributions but not multi_normal or multi_normal_cholesky. Digging around some more I found the following request for such a feature (https://github.com/stan-dev/stan/issues/158#event-60483980) which was “Moved to to-do list with notes.” I cannot find the issue in any of the items on the to-do list and it does not appear to be on the longer-term to-do list. I was wondering, has this been implemented already – and if so, where might I find it? If not, are there still plans to do so?

Cheers!
Jon

2

No. There is an issue with some Stan code for a bivariate normal CDF. We might get one-dimensional numerical integration soon, in which case you might be able to do a trivariate normal CDF. There isn’t a good deterministic algorithm for a general multivariate normal CDF>

3

Thanks, Ben!