Hi there,
recently I wrote a UDF in order to calculate and plot the bivariate
normal distribution.
Now I found the ghk function and tried to replicate the results, but
unfortunately in vain.
I think that I miss-specify the second and third argument. How is a correct?
<hansl>
matrix U=mnormal(400,2)
*matrix A =seq(0,400)/-100 #lower bound **
**A=A'~A'**
**matrix B =seq(0,400)/100 #upper bound **
**B=B'~B'*
matrix vcv=unvech({1;0;2})
matrix f = ghk(cholesky(vcv),A,B,U')
nulldata 400 --preserve
series x1=U[,1]
series x2=U[,2]
series fxy=f[1:400]
<hansl>
Thanks in advance
Leon Unger