CODEWITHSUNDEEP
pythonscipystatisticsprobability-theory
Guoyang Qin
Guoyang Qin

Reputation: 295

How can I find the source code for scipy.stats.mvn?

I was using the function mvn.mvnun() in the scipy.stats module to calculate the CDF of a given multivariate normal distribution in my paper. The reviewer asked me how I estimated the CDF since the CDF has no closed-form. I guess a sampling method might be used. To find out how it works, I searched the scipy source code repo. However, in the scipy.stats folder, I didn't see mvn.py, I saw mvn.pyf instead.

In the file, mvn.mvnun seems to be defined as follows,

!    -*- f90 -*-
! Note: the context of this file is case sensitive.

python module mvn ! in 
    interface  ! in :mvn
        subroutine mvnun(d,n,lower,upper,means,covar,maxpts,abseps,releps,value,inform) ! in :mvn:mvndst.f
            integer intent(hide) :: d=shape(means,0)
            integer intent(hide) :: n=shape(means,1)
            double precision dimension(d) :: lower
            double precision dimension(d) :: upper
            double precision dimension(d,n) :: means
            double precision dimension(d,d) :: covar
            integer intent(optional) :: maxpts=d*1000
            double precision intent(optional) :: abseps=1e-6
            double precision intent(optional) :: releps=1e-6
            double precision intent(out) :: value
            integer intent(out) :: inform
        end subroutine mvnun

However, there is no detailed definition of that function. I was wondering where I can find the source code for mvnun that informs me how it calculates the CDF?

Upvotes: 3

Views: 2738

Answers (2)

Julek
Julek

Reputation: 181

People using these routines from Alan Genz should reference and look at his papers for more information. This seems to be the one behind mvnun. https://doi.org/10.2307/1390838 As of 2023, avalable here: https://www.math.wsu.edu/faculty/genz/papers/mvn.pdf

Upvotes: 0

Warren Weckesser
Warren Weckesser

Reputation: 114841

The implementation is written in Fortran. That pyf file defines the interface for the Fortran function in mvndst.f

Upvotes: 5

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