Computation of the Multivariate Normal Integral over a Complex Subspace

Computation of the Trivariate Normal Integral

We propose a simple and efficient way to calculate trivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the trivariate probability with respect to a correlation coefficient.

Numerical Computation of Multivariate Normal Probabilities

The numerical computation of a multivariate normal probability is often a diicult problem. This article describes a transformation that simpliies the problem and places it into a form that allows eecient calculation using standard numerical multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation, with currently avail...

Parallel Computation of Multivariate Normal Probabilities

We present methods for the computation of multivari-ate normal probabilities on parallel/ distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasi-random methods. We propose a meta-algorithm for asynchronous sampling methods and derive eecient parallel algorithms for the computation of MVN distribution functions, including ...

Aggregation Computation over Complex Objects

OF THE DISSERTATION Aggregation Computation over Complex Objects by Donghui Zhang Doctor of Philosophy, Graduate Program in Computer Science University of California, Riverside, August, 2002 Dr. Vassilis J. Tsotras, Chairperson The aggregation query is an important but costly operation in database management systems. While the aggregation in relational databases has been well studied, recently ...

Screening for a Multivariate Mixture Normal Distribution