Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
نویسندگان
چکیده
منابع مشابه
Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: mvdraws for deriving draws from the standard uniform density using either Halton or pseudo-random sequences, and an egen function mvnp() for calculating the probabilities themselves. Several illustrations show how the programs may be used for maximum simulated likeliho...
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ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2006
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x0600600202