Numerical computation of multivariate normal probabilities using bivariate conditioning

DOI10.1007/978-3-319-33507-0_13MaRDI QIDQ2957037zbMATH OpenOpenAlexFDO

Authors Giang Trinh, A. Genz

Publication date 20 January 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-33507-0_13

zbMATH Keywords

algorithmbivariate conditioningmultivariate normal probabilitiesquasi-Monte Carlo

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Monte Carlo methods (65C05)

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Cites work

• Alternative sampling methods for estimating multivariate normal probabilities
• Bivariate conditioning approximations for multivariate normal probabilities
• Computation of multivariate normal and t probabilities
• Discrepancy bounds for deterministic acceptance-rejection samplers
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Fast simulation of truncated Gaussian distributions
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• Improving the rejection sampling method in quasi-Monte Carlo methods
• Moments of the censored and truncated bivariate normal distribution
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators

Cited in

(15)

• A numerical method for accurately approximating multivariate normal probabilities
• Exploiting low-rank covariance structures for computing high-dimensional normal and Student-\(t\) probabilities
• The computation of bivariate normal and \(t\) probabilities, with application to comparisons of three normal means
• Bivariate conditioning approximations for multivariate normal probabilities
• Using mathematical programming to compute singlular multivariate normal probablities
• scientific article; zbMATH DE number 5008340 (Why is no real title available?)
• Monte carlo computation of some multivariate normal probabilities
• scientific article; zbMATH DE number 66192 (Why is no real title available?)
• scientific article; zbMATH DE number 125650 (Why is no real title available?)
• scientific article; zbMATH DE number 1304526 (Why is no real title available?)
• Quantitative Verification for Neural Networks using ProbStars
• Quantitative verification of learning-enabled systems using ProbStar reachability
• Uncertainty estimation for learning-based classification of corrupted images
• Statistical inference for lindley random walks with correlated increments
• Fast computation of high-dimensional multivariate normal probabilities

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Uses Software

• AS 195

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