Computing multivariate normal probabilities using rank-1 lattice sequences

MaRDI QIDQ4251295zbMATH OpenFDO

Authors Fred J. Hickernell, Hee Sun Hong

Publication date 17 June 1999

zbMATH Keywords

algorithmsmultivariate normal probabilitiesrank-1 lattice quadrature rulestatistical inference

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Numerical computation of multivariate normal probabilities using bivariate conditioning
• Approximations to the multivariate normal integral
• Computation of multivariate normal and t probabilities
• Fast computation of high-dimensional multivariate normal probabilities
• Computation of the multivariate normal integral

Cited in

(11)

• The existence of good extensible rank-1 lattices
• Exploiting low-rank covariance structures for computing high-dimensional normal and Student-\(t\) probabilities
• Searching for extensible Korobov rules
• The construction of good extensible rank-1 lattices
• The construction of extensible polynomial lattice rules with small weighted star discrepancy
• Adaptive Quasi-Monte Carlo Methods for Cubature
• Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
• Accelerating the convergence of lattice methods by importance sampling-based transformations
• Randomized quasi-Monte Carlo methods on triangles: extensible lattices and sequences
• Normal variance mixtures: distribution, density and parameter estimation
• Construction algorithms for good extensible lattice rules

This page was built for publication: Computing multivariate normal probabilities using rank-1 lattice sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4251295)