Monte-Carlo evaluation of multivariate normal probabilities (Q1362040)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte-Carlo evaluation of multivariate normal probabilities |
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Monte-Carlo evaluation of multivariate normal probabilities (English)
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3 August 1997
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normal distribution
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family of simulators
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multinomial probit
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Cholesky decomposition
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covariance matrix
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importance sampling distribution
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antithetical sampling
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