I have to compute the accuracy of a new Gaussian mixture fitting algorithm. One of the tests include computing the probabilities in certain intervals in a 6D hyperspace. Also, the integral of the square of the difference between PDF has to be evaluated. But problem is, Matlab doesn't have library functions that handle integrals above 3 dimensions. Googling, I found several results that involve some sort of nesting using wither quad2d or integral2/integral3. Unfortunately, my attempts to implement nesting haven't been successful. All I have to do is to evaluate the Integral of $(N_{1}(x,\mu_{1},P_{1})-N_{2}(x,\mu_{2},P_{2}))^{2}$ over any given interval in $R^{6}$. Thank you for suggestions
Evaluating 6D Gaussian Integral in Matlab
matlab;numerical