I want to standardize a bivariate normal CDF. I tried with Cholesky decomposition. The results are always different. I don’t know why.

sigma=[1,0.5;0.5,1];
X = [1,1];
z=mvncdf(X,[0,0],sigma);
X1=X*sqrtm(inv(sigma));
z1=mvncdf(X1,[0,0],[1,0;0,1]);
disp([z,z1])I want to standardize a bivariate normal CDF. I tried with Cholesky decomposition. The results are always different. I don’t know why.

sigma=[1,0.5;0.5,1];
X = [1,1];
z=mvncdf(X,[0,0],sigma);
X1=X*sqrtm(inv(sigma));
z1=mvncdf(X1,[0,0],[1,0;0,1]);
disp([z,z1]) I want to standardize a bivariate normal CDF. I tried with Cholesky decomposition. The results are always different. I don’t know why.

sigma=[1,0.5;0.5,1];
X = [1,1];
z=mvncdf(X,[0,0],sigma);
X1=X*sqrtm(inv(sigma));
z1=mvncdf(X1,[0,0],[1,0;0,1]);
disp([z,z1]) mvncdf, chol MATLAB Answers — New Questions

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