Approximating integrals of multivariate exponentials: A moment approach (Q935225): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | Approximating integrals of multivariate exponentials: A moment approach |
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Approximating integrals of multivariate exponentials: A moment approach (English)
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6 August 2008
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A method is proposed for the calculation of lower and upper bounds of some exponential multivariate integrals by use of moment relaxations. It is shown that they asymptotically converge to the value of the integral when the moment degree increases. The developed theory is applied on integrals involving the normal distribution and exponential order statistic probability.
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moment relaxation
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multivariate exponentials
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integral approximation
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semidefinite programming
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multivariate integrals
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normal distribution
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exponential order statistic probability
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