![]() ![]() However, I remember from your previous question that they didn't give you that sigma. I can tell you that your sigma matrix is not positive definite (your off-diagonals are larger than your diagonals, so your pearson's coefficient is greater than 1). Another way of knowing that your matrix is positive definite is if all diagonals are positive, real numbers and the pearson correlation is between -1 and 1 (non-inclusive). The easiest way to think of positive-definite is that all eigenvalues of the matrix must be positive, real numbers. ![]() Symmetric means Aij = Aji (so in your case, since it's just a 2x2 then your first row, second column must equal your second row, first column). This means he matrix must be a symmetric, positive-definite matrix. The input to mvncdf must be a covariance matrix.
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