Computation of multivariate normal probabilities with polar coordinate systems

DOI10.1080/00949655.2012.717224MaRDI QIDQ5219278zbMATH OpenOpenAlexFDO

Authors Noboru Nomura

Publication date 9 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2012.717224

zbMATH Keywords

cumulative distribution functionorthant probabilitypolar coordinatespolyhedral conerecursive integration

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10)

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Cites work

• A New Reconstruction of Multivariate Normal Orthant Probabilities
• Calculations of level probabilities for normal random variables with unequal variances with applications to Bartholomew's test in unbalanced one-way models.
• Computation of multivariate normal and t probabilities
• scientific article; zbMATH DE number 195105 (Why is no real title available?)
• scientific article; zbMATH DE number 3105192 (Why is no real title available?)
• Recursive integration methodologies with statistical applications
• The Evaluation of General Non-Centred Orthant Probabilities
• The multivariate normal distribution
• The use of the tetrachoric series for evaluating multivariate normal probabilities

Cited in

(5)

• The polar-generalized normal distribution: properties, Bayesian estimation and applications
• Orthant probabilities of elliptical distributions from orthogonal projections to subspaces
• Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces
• scientific article; zbMATH DE number 1054341 (Why is no real title available?)
• Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence

Describes a project that uses

Uses Software

• Orthants
• QSIMVN

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