public void CumulativeFunctionTest2()
{
double[] mean = { 4.2 };
double[,] covariance = { { 1.4 } };
var baseline = new NormalDistribution(4.2, System.Math.Sqrt(covariance[0, 0]));
var target = new MultivariateNormalDistribution(mean, covariance);
for (int i = 0; i < 10; i++)
{
double x = (i - 2) / 10.0;
{
double actual = target.ProbabilityDensityFunction(x);
double expected = baseline.ProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, 1e-10);
}
{
double actual = target.DistributionFunction(x);
double expected = baseline.DistributionFunction(x);
Assert.AreEqual(expected, actual);
}
{
double actual = target.ComplementaryDistributionFunction(x);
double expected = baseline.ComplementaryDistributionFunction(x);
Assert.AreEqual(expected, actual);
}
}
}