an approximation for multivariate normal probabilities of rectangular regions

DOI10.1080/02331888708802036MaRDI QIDQ3029998zbMATH OpenOpenAlexFDO

Authors T. Royen

Publication date 1987

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888708802036

zbMATH Keywords

approximation for multivariate normal probabilities of rectangular regionsTaylor polynomialstetrachoric expansion

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Asymptotic distribution theory in statistics (62E20) Statistical distribution theory (62E99) Multivariate distribution of statistics (62H10) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• A NEW EXPANSION FOR THE MULTIVARIATE NORMAL DISTRIBUTION1
• A representation of multivariate normal probability integrals by integral transforms
• An Approximation to the Multivariate Normal Integral: Its Application to Multifactorial Qualitative Traits
• An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
• An upper bound for the probability of a union
• Computer Evaluation of the Multivariate Normal Integral
• Probability Inequalities for Multivariate Distributions with Dependence Structures
• Tests of the Kolmogorov-Smirnov type for exponential data with unknown scale, and related problems
• The use of the tetrachoric series for evaluating multivariate normal probabilities

Cited in

(15)

• Expansions for the multivariate chi-square distribution
• Rectangular and wedge-shaped multivariate normal probabilities
• Integral representations and approximations for multivariate gamma distributions
• Bivariate conditioning approximations for multivariate normal probabilities
• Simultaneous identifications of the minimum effective dose in each of several groups
• A class of rectangle-screened multivariate normal distributions and its applications
• scientific article; zbMATH DE number 6537518 (Why is no real title available?)
• An approximation method for bivariate and multvariate normal equiprobability contours
• scientific article; zbMATH DE number 3898022 (Why is no real title available?)
• Multivariate Probability in Terms of Marginal Probability and Correlation Coefficient
• Computing probabilites of rectangles in case of multinormal distribution
• Evaluation of Normal Probabilities of Symmetric Regions
• scientific article; zbMATH DE number 562226 (Why is no real title available?)
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
• The Zero Problem: Gaussian Process Emulators for Range-Constrained Computer Models

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