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multivariate normal cdf - please help

My model requires this module: statsmodels.sandbox.distributions.extras.mvnormcdf

Quantopian does not support this and my requests will take forever to make it into the Quantopian.

Does anyone know an alternative implementation for multivariate normal cdf? Please help.

3 responses

Thanks Karl. Last I checked quantopian does not have scipy.stats.mvn either :(

Ah yes! It works. Thanks a lot! I almost gave up on this model.

And why might this be helpful in writing an algo for Q? Not looking for any "secret sauce" here; just some overall guidance on applicability.