A numerical method for accurately approximating multivariate normal probabilities
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Cites work
- Adaptive, Self-Validating Numerical Quadrature
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- An Error Analysis for Numerical Differentiation
- An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
- Automatic differentiation: techniques and applications
- Computer Evaluation of the Multivariate Normal Integral
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- scientific article; zbMATH DE number 3880009 (Why is no real title available?)
- scientific article; zbMATH DE number 3936378 (Why is no real title available?)
- On the accuracy and cost of numerical integration in several variables∗
- Probability Integrals of Multivariate Normal and Multivariate t¹
- The numerical evaluation of certain multivariate normal integrals
Cited in
(25)- Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
- Fast simulation of hyperplane-truncated multivariate normal distributions
- An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution. I: Fundamentals
- Recursive integration methodologies with applications to the evaluation of multivariate normal probabilities
- Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy
- Numerical computation of multivariate normal probabilities using bivariate conditioning
- Algorithm developments for optimization problems with joint reliability constraints
- an approximation for multivariate normal probabilities of rectangular regions
- A novel series expansion for the multivariate normal probability integrals based on Fourier series
- scientific article; zbMATH DE number 5008340 (Why is no real title available?)
- Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
- An approximation method for bivariate and multvariate normal equiprobability contours
- A Method for Simulating Multivariate Non Normal Distributions with Specified Standardized Cumulants and Intraclass Correlation Coefficients
- A New Reconstruction of Multivariate Normal Orthant Probabilities
- Monte carlo computation of some multivariate normal probabilities
- An elicitation method for multivariate normal distributions
- scientific article; zbMATH DE number 66192 (Why is no real title available?)
- Self-Validating Computations of Probabilities for Selected Central and Noncentral Univariate Probability Functions
- Numerical evaluation of singular multivariate normal distributions
- Comparison of Approximation Methods for Computing Tolerance Factors for a Multivariate Normal Population
- Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
- Approximations to the multivariate normal integral
- Approximation of certain multivariate integrals
- Fast computation of high-dimensional multivariate normal probabilities
- A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation
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