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Multivariate normal pdf code?

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ignacio82

ignacio82

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Feb 15, 2012
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I'm looking for Fortran code that calculates the multivariate normal pdf.

If someone is willing to share or point me in the right direction I would appreciate it.

Thanks!
 
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If you haven't found anything on google and it is an engineering type application, you could try the sister site www.eng-tips.com. They are more clued up about where to find stuff like that.
 
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sorry this reply is so late

please find below some fortran code that possibly does what you want -- multivariate normal pdf.

i worked on a small project several years ago. part of it involved calculating the multivariate normal pdf. this is a sample of my code. it should help you get started. sorry the code is a bit messy / sloppy :(

please let me know if you can use it

i hope it helps


PS sorry i copied / pasted the code, instead of uploading it (although there's not much code). i know it's not the etiquette. but, i had a little difficulty with uploading. i might have better luck next time :)



Code: 
      SUBROUTINE CALC_XPDF_X1X2X3(X,IX,NX,MEAN_X,IMEAN_X,SD_X,ISD_X,COV_X,&
						&ICOV_X,JCOV_X,INV_COV_X,IINV_COV_X,JINV_COV_X,&
						&DET_COV_X,RHO_X12,RHO_X13,RHO_X23,XPDF,INTEST)
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
!		  
!     PURPOSE:
!     --------
!
!     CALC_XPDF_X1X2X3 computes the (joint PDF) of X.
!
!
!     X - Vector of variables (Normal distribution) where fX(x) is to be
!         - determined
!     XPDF - Output as fX(x)
!     MEAN_X,SD_X - Mean and Standard Deviation of X, respectively
!                 - ie Marginal PDF for ith variable (Xi)
!     COV_X - Normal Covariance Matrix for X
!     INV_COV_X - Inverse of COV_X
!     DET_COV_X - Determinant of COV_X
!     RHO_XIJ - Correlation coefficient of XI,XJ
!     INTEST   -  Error checking flag
!             -  Contains a value corresponding to the following errors
!             -  0   No errors
!             -  1   XPDF <0.0 
!             -  2   XPDF can't be computed
!
!
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
      INTEGER,INTENT(IN) ::IX,NX,IMEAN_X,ISD_X,ICOV_X,JCOV_X
      INTEGER,INTENT(IN) ::IINV_COV_X,JINV_COV_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IX) :: X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IMEAN_X) :: MEAN_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(ISD_X) :: SD_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(ICOV_X,JCOV_X) :: COV_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IINV_COV_X,JINV_COV_X) :: INV_COV_X
	  REAL(KIND=HIGH),INTENT(IN) :: DET_COV_X
	  REAL(KIND=HIGH),INTENT(IN) :: RHO_X12,RHO_X13,RHO_X23
	  REAL(KIND=HIGH),INTENT(OUT) :: XPDF
      INTEGER,INTENT(INOUT) ::INTEST


      INTEGER ::IERR,I
	  REAL(KIND=HIGH) :: PDF
	  REAL(KIND=HIGH),PARAMETER :: SQRT_TWO_PI=2.506628275D0
    

      IF (NX==1)	THEN

		CALL PDF_NORM(X(1),MEAN_X(1),SD_X(1),XPDF,INTEST)

      ELSE IF ((RHO_X12==0.0D0).AND.(RHO_X13==0.0D0).AND.(RHO_X23==0.0D0))	THEN

		XPDF=1.0D0
		DO I=1,TOTLOAD
			CALL PDF_NORM(X(I),MEAN_X(I),SD_X(I),PDF,INTEST)
			XPDF=XPDF*PDF
		END DO

      ELSE 

		CALL JOINT_PDF_NORM_NX3(X,IX,MEAN_X,IMEAN_X,SD_X,ISD_X,COV_X,&
							&ICOV_X,JCOV_X,INV_COV_X,IINV_COV_X,&
							&JINV_COV_X,DET_COV_X,NX,XPDF,INTEST)

      END IF





      END SUBROUTINE CALC_XPDF_X1X2X3
!********************************************************************
      SUBROUTINE PDF_NORM(X,XM,XSD,PDFX,INTEST)
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
!		  
!     PURPOSE:
!     --------
!
!     PDF_NORM computes the PDF at X, for a NORMal distribution.
!
!
!     X - Location where PDF is to be computed
!     XM - Mean of X
!     XSD - Standard deviation of X
!     PDFX - Output as fx(X)
!     INTEST   -  Error checking flag
!             -  Contains a value corresponding to the following errors
!             -  0   No errors
!             -  1   PDFX <0.0 
!
!
!
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
	  REAL(KIND=HIGH),INTENT(IN) :: X,XM,XSD
	  REAL(KIND=HIGH),INTENT(OUT) :: PDFX
      INTEGER,INTENT(INOUT) ::INTEST


      INTEGER ::IERR
	  REAL(KIND=HIGH) :: U
	  REAL(KIND=HIGH),PARAMETER :: SQRT_TWO_PI=2.506628275D0
    

	  U=(X-XM)/XSD
	  PDFX=DEXP(-0.5D0*U*U)
	  PDFX=PDFX/SQRT_TWO_PI/XSD




      END SUBROUTINE PDF_NORM
!********************************************************************
      SUBROUTINE JOINT_PDF_NORM_NX3(X,IX,XM,IXM,XSD,IXSD,COV_X,&
							&ICOV_X,JCOV_X,INV_COV_X,IINV_COV_X,&
							&JINV_COV_X,DET_COV_X,NX,PDFX,INTEST)
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
!		  
!     PURPOSE:
!     --------
!
!     JOINT_PDF_NORM_NX3 computes the JOINT PDF at X, for a NORMal
!     distribution, for a system having >=3 variables (NX>=3).
!
!
!     X - Vector Location where PDF is to be computed
!     XM - Vector of Mean of X
!     XSD - Vector of Standard Deviation of X
!     COV_X - Normal Covariance Matrix for X
!     INV_COV_X - Inverse of COV_X
!     DET_COV_X - Determinant of COV_X
!     NX - Number of random variables
!     PDFX - Output as joint fx(X)
!     INTEST   -  Error checking flag
!             -  Contains a value corresponding to the following errors
!             -  0   No errors
!             -  1   PDFX <0.0 
!
!
!
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
      INTEGER,INTENT(IN) ::IX,NX,IXM,IXSD,ICOV_X,JCOV_X
      INTEGER,INTENT(IN) ::IINV_COV_X,JINV_COV_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IX) :: X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IXM) :: XM
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IXSD) :: XSD
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(ICOV_X,JCOV_X) :: COV_X
	  REAL(KIND=HIGH),INTENT(IN),DIMENSION(IINV_COV_X,JINV_COV_X) :: INV_COV_X
	  REAL(KIND=HIGH),INTENT(IN) :: DET_COV_X
	  REAL(KIND=HIGH),INTENT(OUT) :: PDFX
      INTEGER,INTENT(INOUT) ::INTEST


      INTEGER ::IERR
      INTEGER ::I,J,N,M
	  REAL(KIND=HIGH) :: X1,X2,SD_X1,SD_X2,MEAN_X1,MEAN_X2,RHO,H,K
	  REAL(KIND=HIGH) :: U
	  REAL(KIND=HIGH) :: SUM_AB,SUM_ABC
	  REAL(KIND=HIGH),DIMENSION(IX) :: X_XM
	  REAL(KIND=HIGH),DIMENSION(IX) :: AB
	  REAL(KIND=HIGH),DIMENSION(IX) :: X_XMT
	  REAL(KIND=HIGH),PARAMETER :: TWO_PI=6.283185307D0
    


!     compute multivariate PDF

!     compute (X-XM) and (X-XM)T

		  X_XM=0.0D0
		  X_XMT=0.0D0
		  DO I=1,NX
			X_XM(I)=X(I)-XM(I)
			X_XMT(I)=X(I)-XM(I)
		  END DO

!     compute (X-XM)T*INVERSE(COV_Q)
	  

			AB=0.0D0
			DO J=1,NX
				SUM_AB=0.0D0
				DO N=1,NX
					SUM_AB=SUM_AB+X_XMT(N)*INV_COV_X(N,J)
				END DO
				AB(J)=SUM_AB
			END DO


!     compute (X-XM)T*INVERSE(COV_X)*(X-XM)

		  SUM_ABC=0.0D0
		  DO M=1,NX
			  SUM_ABC=SUM_ABC+AB(M)*X_XM(M)
		  END DO

		   U=SUM_ABC

!     compute PDFX

		   PDFX=DEXP(-0.5D0*U)
		   PDFX=PDFX*DET_COV_X**(-0.5)
		   PDFX=PDFX*TWO_PI**(-DBLE(NX)/2.0D0)





      END SUBROUTINE JOINT_PDF_NORM_NX3
 
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