Numerical Computation of Multivariate Normal Probabilities
نویسنده
چکیده
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 available software.
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تاریخ انتشار 1992