The use of the tetrachoric series for evaluating multivariate normal probabilities

DOI10.1016/0047-259X(80)90017-2zbMath0438.62043MaRDI QIDQ1141993

Andrew P. Soms, Bernard Harris

Publication date: 1980

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

convergence properties; correlation matrix; evaluating multivariate normal probabilities; tetrachoric series

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

Computation of multivariate normal probabilities with polar coordinate systems, Expansions for the multivariate chi-square distribution, A joint chance-constrained programming model with row dependence, Orthant probabilities of elliptical distributions from orthogonal projections to subspaces, Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces, an approximation for multivariate normal probabilities of rectangular regions, A novel series expansion for the multivariate normal probability integrals based on Fourier series, Monte carlo computation of some multivariate normal probabilities

Cites Work

• A Table for Computing Trivariate Normal Probabilities
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Rank correlation and product-moment correlation
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item