Fast computation of high-dimensional multivariate normal probabilities (Q901525)

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Fast computation of high-dimensional multivariate normal probabilities
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    Statements

    title
    Fast computation of high-dimensional multivariate normal probabilities (English)
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    author
    Ioannis Phinikettos
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    Axel Gandy
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    publication date
    12 January 2016
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    zbMATH Keywords
    multivariate normal distribution
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    Monte Carlo methods
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    singular values
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    Identifiers

    Mathematics Subject Classification ID
    65C60
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    62-07
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    62D05
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    zbMATH DE Number
    6528938
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    Wikidata QID
    Q57834992
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