[Octave-bug-tracker] [bug #44130] mvncdf outputs different results for same input parameters

[Andrej]

Follow-up Comment #1, bug #44130 (project octave):

Hi Pham, 

I believe this is not a bug but a matter of precision. 

The function always(*) uses a Monte Carlo method to approximate the integrals,
that runs until error is smaller than a predefined precision of 1e-3. Look at
the variable 'error'
 
[p,error] = mvncdf(x, mu, sigma). 


best, Andrej  

(*) unlike Matlab that uses adaptive quadrature for 2- and 3- dimensional
data. It would be nice to have this in Octave, too, since it is faster than
Monte Carlo. 


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