Monte-Carlo evaluation of multivariate normal probabilities (Q1362040)
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scientific article; zbMATH DE number 1042449
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| English | Monte-Carlo evaluation of multivariate normal probabilities |
scientific article; zbMATH DE number 1042449 |
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Monte-Carlo evaluation of multivariate normal probabilities (English)
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3 August 1997
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normal distribution
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family of simulators
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multinomial probit
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Cholesky decomposition
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covariance matrix
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importance sampling distribution
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antithetical sampling
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0.9550638
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0.9113236
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0.8990743
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0.89879626
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