Monte-Carlo evaluation of multivariate normal probabilities

DOI10.1016/0304-4076(95)01792-5zbMath0880.62016OpenAlexW2009916079MaRDI QIDQ1362040

Wim P. M. Vijverberg

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01792-5

zbMATH Keywords

covariance matrixnormal distributionCholesky decompositionimportance sampling distributionantithetical samplingfamily of simulatorsmultinomial probit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (13)

Multivariate discrete distributions induced by an urn scheme, linear Diophantine equations, unbiased estimating, testing and applications ⋮ Probability Integrals of the Multivariate t Distribution ⋮ Fast computation of high-dimensional multivariate normal probabilities ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ Simulated classical tests in multinomial probit models ⋮ Fitting mixed-effects models when data are left truncated ⋮ Rectangular and wedge-shaped multivariate normal probabilities ⋮ Efficient estimation of probit models with correlated errors ⋮ The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's ⋮ Estimation of dynamic and ARCH Tobit models ⋮ The evaluation of bivariate normal probabilities for failure of parallel systems ⋮ Two-level linear paired comparison models: Estimation and identifiability issues

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