Evaluation and approximation of multivariate cumulative joint probabilities

DOI10.1080/00949658708810977MaRDI QIDQ3740058zbMATH OpenOpenAlexFDO

Authors Rudolph S. Parrish

Publication date 1987

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

Full work available at URL https://doi.org/10.1080/00949658708810977

zbMATH Keywords

approximationconditional momentscumulative joint probabilitiesexact evaluationsmultivariate noncentral tNonstandard Gaussian quadrature techniquesPearson classPearson-type differential equation constantstrivariate Dirichletunivariate Pearson distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32)

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Cites work

• Estimation of Parameters in Truncated Pearson Frequency Distributions
• scientific article; zbMATH DE number 3167453 (Why is no real title available?)
• scientific article; zbMATH DE number 3476465 (Why is no real title available?)
• scientific article; zbMATH DE number 3413713 (Why is no real title available?)
• Numerical evaluation of an equicorrelated multivariate non-central t distribution
• Systems of Frequency Curves

Cited in

(7)

• Modelling of many correlated and skewed random variables
• Generating random deviates from multivariate Pearson distributions
• The Point Evaluation Method for Approximating Function Means, Variances and Covariances
• Computational methods for fitting statistical distribution models of multi-site binding equilibria
• Exact simulation of the Hull and White stochastic volatility model
• Nested-conditional factorization approach to Asian options pricing
• Probability distributions for multimeric systems

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