The numerical evaluation of certain multivariate normal integrals

DOI10.1016/0377-0427(86)90100-7zbMath0596.65006OpenAlexW2089646177MaRDI QIDQ1078975

David K. Kahaner, A. C. Genz

Publication date: 1986

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(86)90100-7

zbMATH Keywords

numerical quadraturemultivariate normal integraltridiagonal covariance matrixiterated integration

Mathematics Subject Classification ID

Computation of special functions and constants, construction of tables (65D20) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Lattice meets lattice: application of lattice cubature to models in lattice gauge theory ⋮ On the efficient numerical solution of lattice systems with low-order couplings ⋮ A numerical method for accurately approximating multivariate normal probabilities ⋮ Multivariate normal integrals and contingency tables with ordered categories ⋮ Avoiding the Sign Problem in Lattice Field Theory ⋮ Using mathematical programming to compute singlular multivariate normal probablities ⋮ Generalized Maximally Selected Statistics

Uses Software

• IMSL Numerical Libraries

Cites Work

• Computer Evaluation of the Multivariate Normal Integral
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