Numerical Computation of Multivariate Normal and MultivariatetProbabilities over Ellipsoidal Regions
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2001
ISSN: 1548-7660
DOI: 10.18637/jss.v006.i08