toms725_test

toms725_test, a Fortran77 code which calls toms725(), which evaluates multivariate normal integrals associated with the computation of cumulative probability density function (CDF) associated with a multidimensional variable governed by a normal probability density function (PDF) with a known correlation matrix, by Zvi Drezner. This is a version of ACM TOMS algorithm 725.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Related Data and Programs:

toms725, a Fortran77 code which evaluates multivariate normal integrals associated with the computation of cumulative probability density function (CDF) associated with a multidimensional variable governed by a normal probability density function (PDF) with a known correlation matrix, by Zvi Drezner. This is a version of ACM TOMS algorithm 725.

Source Code:

• toms725_test.f, a sample calling program.
• toms725_test.sh, BASH commands to compile and run the sample program.
• toms725_test.txt, the output file.