Monte carlo computation of some multivariate normal probabilities

DOI10.1080/00949658808811088MaRDI QIDQ3795070zbMATH OpenOpenAlexFDO

Authors Michael Evans, Tim B. Swartz

Publication date 1988

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

Full work available at URL https://doi.org/10.1080/00949658808811088

zbMATH Keywords

computation of orthant probabilitiescurved simplicesMonte Carlo estimatorsampling from Gauss rulesvariance reduction

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 3251076 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• The use of the tetrachoric series for evaluating multivariate normal probabilities

Cited in

(12)

• Monte-Carlo evaluation of multivariate normal probabilities
• On inadmissibility of Hotelling \(T^{2}\)-tests for restricted alternatives.
• Computation of Gaussian orthant probabilities in high dimension
• Using mathematical programming to compute singlular multivariate normal probablities
• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• On spherical Monte Carlo simulations for multivariate normal probabilities
• Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
• scientific article; zbMATH DE number 2124556 (Why is no real title available?)
• Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
• Efficiency of Monte Carlo computations in very high dimensional spaces
• Numerical approximation of conditional asymptotic variances using Monte Carlo simulation
• Some cross-product difference statistics and a test for trends in ordered contingency tables

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