I have a mixture of multivariate normal distributions, and I want to compute the integral with the first element of the input vector varying between specified limits, and the other elements varying from -infinity to +infinity. See attached pdf for equations. I've done it numerically but would like an analytic solution. Any advice? Thanks!
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integrate a mixture of multivariate normal distributions
in Analysis and Calculus
Posted
I have a mixture of multivariate normal distributions, and I want to compute the integral with the first element of the input vector varying between specified limits, and the other elements varying from -infinity to +infinity. See attached pdf for equations. I've done it numerically but would like an analytic solution. Any advice? Thanks!
And here's the pdf.intMix2.pdf