Re: [Gretl-users] ghk function question
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:
<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.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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