Rectangular and wedge-shaped multivariate normal probabilities

被引：4
|
作者：
Vijverberg, WPM [1 ]
机构：
[1] Univ Texas Dallas, Sch Social Sci, Richardson, TX 75083 USA
来源：
ECONOMICS LETTERS | 2000年 / 68卷 / 01期
关键词：
normal distribution; simulation;
D O I：
10.1016/S0165-1765(00)00224-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper demonstrates an easy way to obtain a substantial gain in precision in the popular GHK simulator, and the RIS simulator that extends it, of multivariate normal probabilities. On average, this gain translates into a 40% saving in computational time. It is also shown that the simulator can be used to compute probabilities over wedge-shaped areas. In this case, the RIS simulator based on the legit distribution has a substantial advantage over the GHK simulator. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C15; C40.
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页码：13 / 20
页数：8
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