Normalise multivariate probability density

Hi, I have some multivariate data of dimension 4. I have used mvnpdf to compute their densities.

However, I would like to normalise the densities by using a partition function. I wish to calculate:

where pi_l is some constant and N(v;mean;covariance) is the mvnpdf and v is a data point.

How would i go about this?

Answer 1

[Dave Behera]

To compute the integral above, you can use the Multivariate normal cumulative distribution function 'mvncdf' described here:

http://www.mathworks.com/help/stats/mvncdf.html

Also, you may need to multiply the constant pi_l (present within the integral above) to the output of 'mvncdf' function to get the correct result.