Accord.Tests.Statistics.MultivariateNormalDistributionTest.CumulativeFunctionTest1 C# (CSharp) Method

        public void CumulativeFunctionTest1()
        {
            // Comparison against dmvnorm from the mvtnorm R package

            double[] mean = { 1, -1 };

            double[,] covariance = 
            {
                { 0.9, 0.4 },
                { 0.4, 0.3 },
            };

            var target = new MultivariateNormalDistribution(mean, covariance);

            double[] x = { 1.2, -0.8 };

            // dmvnorm(x=c(1.2, -0.8), mean=c(1, -1), sigma=matrix(c(0.9, 0.4, 0.4, 0.3), 2, 2))
            double pdf = target.ProbabilityDensityFunction(x);

            // pmvnorm(upper=c(1.2, -0.8), mean=c(1, -1), sigma=matrix(c(0.9, 0.4, 0.4, 0.3), 2, 2))
            double cdf = target.DistributionFunction(x);

            // pmvnorm(lower=c(1.2, -0.8), mean=c(1, -1), sigma=matrix(c(0.9, 0.4, 0.4, 0.3), 2, 2))
            double ccdf = target.ComplementaryDistributionFunction(x);

            Assert.AreEqual(0.44620942136345987, pdf);
            Assert.AreEqual(0.5049523013014460826, cdf, 1e-10);
            Assert.AreEqual(0.27896707550525140507, ccdf, 1e-10);
        }