An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals (Q2230582): Difference between revisions

Latest revision as of 15:18, 17 December 2024

scientific article

Language	Label	Description	Also known as
English	An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals	scientific article

Statements

instance of

scholarly article

0 references

title

An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals (English)

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Advances in Computational Mathematics

0 references

publication date

24 September 2021

0 references

zbMATH Keywords

exponential covariance model

0 references

Fourier transform

0 references

hierarchical algorithm

0 references

low-dimensional structure

0 references

low-rank structure

0 references

truncated multi-variate normal distribution

0 references

describes a project that uses

0 references

0 references

0 references

0 references

0 references

0 references

0 references

full work available at URL

https://doi.org/10.1007/s10444-021-09888-1

0 references

cites work

On the Unification of Families of Skew-normal Distributions

0 references

A unified view on skewed distributions arising from selections

0 references

On the exact distribution of the maximum of absolutely continuous dependent random variables

0 references

Statistical Applications of the Multivariate Skew Normal Distribution

0 references

Q4681954

0 references

Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities

0 references

Exploiting occurrence times in likelihood inference for componentwise maxima

0 references

High dimensional polynomial interpolation on sparse grids

0 references

Numerical integration using sparse grids

0 references

Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems

0 references

Computation of multivariate normal and \(t\) probabilities

0 references

Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation

0 references

The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting

0 references

A New Reconstruction of Multivariate Normal Orthant Probabilities

0 references

A novel series expansion for the multivariate normal probability integrals based on Fourier series

0 references

Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results

0 references

Multivariate integration for analytic functions with Gaussian kernels

0 references

The Evaluation of General Non-Centred Orthant Probabilities

0 references

Fast computation of high-dimensional multivariate normal probabilities

0 references

Computation of Gaussian orthant probabilities in high dimension

0 references

Strong tractability of multivariate integration using quasi–Monte Carlo algorithms

0 references

Fast direct solvers for integral equations in complex three-dimensional domains

0 references

A sparse matrix arithmetic based on \({\mathfrak H}\)-matrices. I: Introduction to \({\mathfrak H}\)-matrices

0 references

A sparse \({\mathcal H}\)-matrix arithmetic. II: Application to multi-dimensional problems

0 references

A Fast Direct Solver for Structured Linear Systems by Recursive Skeletonization

0 references

An Algorithm for the Machine Calculation of Complex Fourier Series

0 references

Multi-Level Adaptive Solutions to Boundary-Value Problems

0 references

A fast algorithm for particle simulations

0 references

Q4356574

0 references

A Parallel Nonuniform Fast Fourier Transform Library Based on an “Exponential of Semicircle" Kernel

0 references

Accelerating the Nonuniform Fast Fourier Transform

0 references

The type 3 nonuniform FFT and its applications

0 references

Hierarchical matrices. A means to efficiently solve elliptic boundary value problems

0 references

Sliced Inverse Regression for Dimension Reduction

0 references

Hierarchical Interpolative Factorization for Elliptic Operators: Differential Equations

0 references

Hierarchical Interpolative Factorization for Elliptic Operators: Integral Equations

0 references

Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

0 references

Asymptotic Fourier coefficients for a \(C^\infty\) bell (smoothed-``top-hat'') \& the Fourier extension problem

0 references

Efficient algorithmic implementation of the Voigt/complex error function based on exponential series approximation

0 references

Efficient Computation of the Complex Error Function

0 references

A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

0 references

Identifiers

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1007/S10444-021-09888-1

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2230582

@@ Property / DOI @@
-.1007/s10444-021-09888-1
@@ Property / DOI: 10.1007/s10444-021-09888-1 / rank @@
-Normal rank
@@ Property / cites work @@
+On the Unification of Families of Skew-normal Distributions
+Normal rank
@@ Property / cites work @@
+A unified view on skewed distributions arising from selections
+Normal rank
@@ Property / cites work @@
+On the exact distribution of the maximum of absolutely continuous dependent random variables
+Normal rank
@@ Property / cites work @@
+Statistical Applications of the Multivariate Skew Normal Distribution
+Normal rank
@@ Property / cites work @@
+Q4681954
@@ Property / cites work: Q4681954 / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
+Normal rank
@@ Property / cites work @@
+Exploiting occurrence times in likelihood inference for componentwise maxima
+Normal rank
@@ Property / cites work @@
+High dimensional polynomial interpolation on sparse grids
+Normal rank
@@ Property / cites work @@
+Numerical integration using sparse grids
@@ Property / cites work: Numerical integration using sparse grids / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems
+Normal rank
@@ Property / cites work @@
+Computation of multivariate normal and \(t\) probabilities
+Normal rank
@@ Property / cites work @@
+Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
+Normal rank
@@ Property / cites work @@
+The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting
+Normal rank
@@ Property / cites work @@
+A New Reconstruction of Multivariate Normal Orthant Probabilities
+Normal rank
@@ Property / cites work @@
+A novel series expansion for the multivariate normal probability integrals based on Fourier series
+Normal rank
@@ Property / cites work @@
+Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
+Normal rank
@@ Property / cites work @@
+Multivariate integration for analytic functions with Gaussian kernels
+Normal rank
@@ Property / cites work @@
+The Evaluation of General Non-Centred Orthant Probabilities
+Normal rank
@@ Property / cites work @@
+Fast computation of high-dimensional multivariate normal probabilities
+Normal rank
@@ Property / cites work @@
+Computation of Gaussian orthant probabilities in high dimension
+Normal rank
@@ Property / cites work @@
+Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
+Normal rank
@@ Property / cites work @@
+Fast direct solvers for integral equations in complex three-dimensional domains
+Normal rank
@@ Property / cites work @@
+A sparse matrix arithmetic based on \({\mathfrak H}\)-matrices. I: Introduction to \({\mathfrak H}\)-matrices
+Normal rank
@@ Property / cites work @@
+A sparse \({\mathcal H}\)-matrix arithmetic. II: Application to multi-dimensional problems
+Normal rank
@@ Property / cites work @@
+A Fast Direct Solver for Structured Linear Systems by Recursive Skeletonization
+Normal rank
@@ Property / cites work @@
+An Algorithm for the Machine Calculation of Complex Fourier Series
+Normal rank
@@ Property / cites work @@
+Multi-Level Adaptive Solutions to Boundary-Value Problems
+Normal rank
@@ Property / cites work @@
+A fast algorithm for particle simulations
@@ Property / cites work: A fast algorithm for particle simulations / rank @@
+Normal rank
@@ Property / cites work @@
+Q4356574
@@ Property / cites work: Q4356574 / rank @@
+Normal rank
@@ Property / cites work @@
+A Parallel Nonuniform Fast Fourier Transform Library Based on an “Exponential of Semicircle" Kernel
+Normal rank
@@ Property / cites work @@
+Accelerating the Nonuniform Fast Fourier Transform
+Normal rank
@@ Property / cites work @@
+The type 3 nonuniform FFT and its applications
@@ Property / cites work: The type 3 nonuniform FFT and its applications / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical matrices. A means to efficiently solve elliptic boundary value problems
+Normal rank
@@ Property / cites work @@
+Sliced Inverse Regression for Dimension Reduction
@@ Property / cites work: Sliced Inverse Regression for Dimension Reduction / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical Interpolative Factorization for Elliptic Operators: Differential Equations
+Normal rank
@@ Property / cites work @@
+Hierarchical Interpolative Factorization for Elliptic Operators: Integral Equations
+Normal rank
@@ Property / cites work @@
+Finding structure with randomness: Probabilistic algorithms for   constructing approximate matrix decompositions
+Normal rank
@@ Property / cites work @@
+Asymptotic Fourier coefficients for a \(C^\infty\) bell (smoothed-``top-hat'') \& the Fourier extension problem
+Normal rank
@@ Property / cites work @@
+Efficient algorithmic implementation of the Voigt/complex error function based on exponential series approximation
+Normal rank
@@ Property / cites work @@
+Efficient Computation of the Complex Error Function
+Normal rank
@@ Property / cites work @@
+A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
+Normal rank
@@ Property / DOI @@
+.1007/S10444-021-09888-1
@@ Property / DOI: 10.1007/S10444-021-09888-1 / rank @@
+Normal rank