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

DOI10.1016/0304-4076(94)01716-6zbMath0849.62064OpenAlexW1994828281MaRDI QIDQ1915466

Daniel McFadden, Vassilis Argyrou Hajivassiliou, Paul A. Ruud

Publication date: 6 November 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01716-6

zbMATH Keywords

importance samplingmultiple integralderivativesMonte Carlo integrationdiscrete choice modelsmultinomial probit modelFORTRANacceptance/rejectionsimulation estimationcrude frequency simulatorGibbs resamplingkernel-smoothed frequency simulatornegative orthant probability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)

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