Multidimensional normal cdf in C, C ++ or Fortran

Question

Is there an open source for calculating multidimensional (where the dimension is large> 3 rather than two-dimensional or trivial) numerical cdf of Gaussian distributions in C, C ++ or Fortran?

I believe IMSL does this; http://www.roguewave.com/portals/0/products/imsl-numerical-libraries/c-library/docs/7.0/html/cstat/default.htm?turl=multivariatenormalcdf.htm

Answer 1

You have to go to the source ... this dude, professor Alan Gentz, has been studying how to do this and other multidimensional integrals numerically since the 1980s. All code that has been implemented by others stems from its algorithm and documents. Its code can calculate CDF and expect multidimensional normal and T-distributions for measurements up to 1000.

http://www.math.wsu.edu/faculty/genz/software/software.html

I also wrote code to call these routines from Java: Compute multidimensional normal CDF in Java

Answer 2

I think the quantlib should do the job ... http://quantlib.sourcearchive.com/documentation/1.1-1/classQuantLib_1_1BivariateCumulativeNormalDistributionDr78.html