A numerical method for accurately approximating multivariate normal probabilities
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Cites work
- scientific article; zbMATH DE number 3649911 (Why is no real title available?)
- scientific article; zbMATH DE number 3880009 (Why is no real title available?)
- scientific article; zbMATH DE number 3936378 (Why is no real title available?)
- 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
- On the accuracy and cost of numerical integration in several variables∗
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
- The numerical evaluation of certain multivariate normal integrals
Cited in
(24)- Comparison of Approximation Methods for Computing Tolerance Factors for a Multivariate Normal Population
- Recursive integration methodologies with applications to the evaluation of multivariate normal probabilities
- A New Reconstruction of Multivariate Normal Orthant Probabilities
- A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation
- Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
- Monte carlo computation of some multivariate normal probabilities
- scientific article; zbMATH DE number 5008340 (Why is no real title available?)
- Approximation of certain multivariate integrals
- Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
- scientific article; zbMATH DE number 66192 (Why is no real title available?)
- An elicitation method for multivariate normal distributions
- A Method for Simulating Multivariate Non Normal Distributions with Specified Standardized Cumulants and Intraclass Correlation Coefficients
- Numerical computation of multivariate normal probabilities using bivariate conditioning
- an approximation for multivariate normal probabilities of rectangular regions
- Approximations to the multivariate normal integral
- A novel series expansion for the multivariate normal probability integrals based on Fourier series
- Fast simulation of hyperplane-truncated multivariate normal distributions
- Self-Validating Computations of Probabilities for Selected Central and Noncentral Univariate Probability Functions
- Numerical evaluation of singular multivariate normal distributions
- Computing the noncentral-\(F\) distribution and the power of the \(F\)-test with guaranteed accuracy
- An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals
- Algorithm developments for optimization problems with joint reliability constraints
- An approximation method for bivariate and multvariate normal equiprobability contours
- Fast computation of high-dimensional multivariate normal probabilities
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