Hi all,
I defined the function integrand as follows.
library(mnormt)
integrand <- function (rho, a, b,z, x, y){
Sigma <- matrix(c(1, rho, rho, 1), 2,2)
mu <- rep(0,2)
f <- pnorm(c((z-a*x)/b, (z-a*y)/b), mu, Sigma)*dnorm(c(0,0), mu,
diag(2))
f
}
Then I would like to do the following:
1. Take the integral of the function integrand with respect to x and
y. The integration limit is (-Inf, 1) for both x and y.
2. This integral is then a function of (rho, a, b, z). I then want to
find the value of z that would make this integral to be equal to a
constant, say, 0.1, for specific rho, a and b.
Can anyone give some help on this? Thank you very much.
Hanna
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