APPROXIMATIONS TO THE MULTIVARIATE NORMAL INTEGRAL

被引：5

作者：

DREZNER, Z ^{[1
]}

机构：

[1] CALIF STATE UNIV FULLERTON,DEPT MANAGEMENT SCI,FULLERTON,CA 92634

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1990年 / 19卷 / 02期

关键词：

Multivariate Normal Probabilities Approximation;

D O I：

10.1080/03610919008812873

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a simple and efficient way to approximate multivariate normal probabilities using univariate and bivariate probabilities. The approximation is computationally tested for the trivariate and quadrivariate normal probabilities. A few problems of higher dimensions were also tested. © 1990, Taylor & Francis Group, LLC. All rights reserved.

引用

页码：527 / 534

页数：8

共 50 条

[1] Integral Representations and Approximations for Multivariate Gamma Distributions
T. Royen
Annals of the Institute of Statistical Mathematics, 2007, 59 : 499 - 513
[2] Integral representations and approximations for multivariate gamma distributions
Royen, T.
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2007, 59 (03) : 499 - 513
[3] APPROXIMATIONS TO MULTIVARIATE NORMAL ORTHANT PROBABILITIES
BACON, RH
ANNALS OF MATHEMATICAL STATISTICS, 1963, 34 (01): : 191 - &
[4] COMPUTATION OF THE MULTIVARIATE NORMAL INTEGRAL
DREZNER, Z
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE, 1992, 18 (04): : 470 - 480
[5] Bivariate conditioning approximations for multivariate normal probabilities
Giang Trinh
Alan Genz
Statistics and Computing, 2015, 25 : 989 - 996
[6] Bivariate conditioning approximations for multivariate normal probabilities
Trinh, Giang
Genz, Alan
STATISTICS AND COMPUTING, 2015, 25 (05) : 989 - 996
[7] COMPUTER EVALUATION OF MULTIVARIATE NORMAL INTEGRAL
MILTON, RC
TECHNOMETRICS, 1972, 14 (04) : 881 - &
[8] A NOTE ON THE EVALUATION OF THE MULTIVARIATE NORMAL INTEGRAL
DAVID, FN
BIOMETRIKA, 1953, 40 (3-4) : 458 - 459
[9] REDUCTION OF MULTIVARIATE NORMAL INTEGRAL TO CHARACTERISTIC FORM
CHILDS, DR
BIOMETRIKA, 1967, 54 : 293 - &
[10] MULTIVARIATE NORMAL DISTRIBUTION FOR INTEGRAL POINTS ON VARIETIES
El-Baz, Daniel
Loughran, Daniel
Sofos, Efthymios
TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY, 2022, 375 (05) : 3089 - 3128

← 1 2 3 4 5 →