The numerical evaluation of certain multivariate normal integrals

DOI10.1016/0377-0427(86)90100-7zbMath0596.65006OpenAlexW2089646177MaRDI QIDQ1078975

David K. Kahaner, A. C. Genz

Publication date: 1986

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(86)90100-7

zbMATH Keywords

numerical quadraturemultivariate normal integraltridiagonal covariance matrixiterated integration

Mathematics Subject Classification ID

Computation of special functions and constants, construction of tables (65D20) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• IMSL Numerical Libraries

Cites Work

• Unnamed Item
• Computer Evaluation of the Multivariate Normal Integral