Computation of the multivariate normal integral

DOI10.1145/138351.138375MaRDI QIDQ4371819zbMATH OpenOpenAlexWikidataFDO

Authors Zvi Drezner

Publication date 10 February 1998

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL http://www.acm.org/pubs/contents/journals/toms/1992-18/

zbMATH Keywords

computer programerror control methodFortranGauss quadrature methodmultivariate normal integral

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• Approximations to the multivariate normal integral
• Dimension reduction and \(L_ 1\) approximation for evaluation of multivariate normal integral
• scientific article; zbMATH DE number 697763

Cited in

(31)

• Computation of multivariate normal and t probabilities
• Variational methods for normal integration
• Complex compound option models -- can practitioners truly operationalize them?
• Integrals of products of multinormal mixtures
• Recursive integration methodologies with applications to the evaluation of multivariate normal probabilities
• Evaluating nearly singular multinormal expectations with application to wave distributions
• Using mathematical programming to compute singlular multivariate normal probablities
• Abstract tubes associated with perturbed polyhedra with applications to multidimensional normal probability computations
• Numerical computation of multivariate normal probabilities using bivariate conditioning
• Algorithm developments for optimization problems with joint reliability constraints
• scientific article; zbMATH DE number 426223 (Why is no real title available?)
• On the accuracy and cost of numerical integration in several variables^∗
• Dimension reduction and \(L_ 1\) approximation for evaluation of multivariate normal integral
• Accelerating convergence in minisum location problem with \(\ell p\) norms
• A Reduction Method Applicable to Compound Option Formulas
• scientific article; zbMATH DE number 4161953 (Why is no real title available?)
• MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY
• scientific article; zbMATH DE number 4009585 (Why is no real title available?)
• scientific article; zbMATH DE number 66192 (Why is no real title available?)
• scientific article; zbMATH DE number 1247191 (Why is no real title available?)
• scientific article; zbMATH DE number 1304526 (Why is no real title available?)
• Computation of the Trivariate Normal Integral
• scientific article; zbMATH DE number 697763 (Why is no real title available?)
• scientific article; zbMATH DE number 1043094 (Why is no real title available?)
• Numerical evaluation of singular multivariate normal distributions
• scientific article; zbMATH DE number 3996992 (Why is no real title available?)
• The maximin gradual cover location problem
• Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
• Approximations to the multivariate normal integral
• Subroutines for computing normal probabilities of sets -- computer experiences
• A distribution map for the one-median location problem on a network

Describes a project that uses

Uses Software

• AS 195
• LINPACK

This page was built for publication: Computation of the multivariate normal integral

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4371819)