Sib-pair Command: set mft

Nameset mft
Arguments <number of function evaluations> [<absolute error> [<relative error>]].

Controls the number of function evaluations and absolute or relative tolerances used for integration of the multivariate normal d.f. by the mft algorithm. Genz states,

this parameter can be used to limit the time. A sensible strategy is to start with MAXPTS = 1000*N, and then increase MAXPTS if ERROR is too large.

The absolute and relative errors are in terms of the raw likelihood. The main user of this is the mft command.


>> set mft 

NOTE:  MVN cdf evaluations  2000 * NDIM.
               Absolute err .5000E-04
               Relative err 0.000    

>> set mft 5000 5e-5 5e-4

NOTE:  MVN cdf evaluations  5000 * NDIM.
               Absolute err .5000E-04
               Relative err .5000E-03

<< (set tolerance)Up to index>> (set mincount)