Am 27.10.2012 13:42, schrieb Riccardo (Jack) Lucchetti:

On Sat, 27 Oct 2012, Pindar wrote:

It would be really nice if someone could present an example for the bivariate normal with ghk function!
(Perhaps with some info on the actual purpose of this function)

You're right. I'll provide an example script soon. In the meantime: it's a simulation-based device to approximate probabilities from an n-variate normal distribution. I'm sure you can get the gist of it from the following example:

Thank you Jack!
At the moment I'm working with multivariate statistic and found that GRETL provides only the univariate anova (right?).
So I tried to get into the world of UDFs and bundles and such and wrote a function package named MVStatistic which contains

1) MARDIA test on a N_m distribution
2) M test on the null of constant VCV of the factor steps
3) MANOVA as the multivariate pendant to 'anova'
4) critical_Wilks_lambda
5) N() als a generator for BIvariate normal distribution

It's just a start and I gonna try to add new stuff as soon as possible.
One question in terms of UDFs on the server: I included the BVNormal in MVStatistic, but how to delete it from the server?

Cheers
Leon

<hansl>
nulldata 20
series inf1 = -2*uniform()
series sup1 = 2*uniform()
series inf2 = -2*uniform()
series sup2 = 2*uniform()

rho = 0.25
V = {1, rho; rho, 1}

series P = cdf(D, rho, inf1, inf2) - cdf(D, rho, sup1, inf2) \
- cdf(D, rho, inf1, sup2) + cdf(D, rho, sup1, sup2)

C = cholesky(V)
U = muniform(2, 100)

series Q = ghk(C, {inf1, inf2}, {sup1, sup2}, U)
print P Q -o
</hansl>

More details will be in the Gretl Reference Manual (or the online help) in the upcoming 1.9.10 version, or in CVS.

--------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Economia

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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