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

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