Three digit accurate multiple normal probabilities
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Publication:1149222
DOI10.1007/BF01399006zbMath0453.65007OpenAlexW1536391780MaRDI QIDQ1149222
Publication date: 1980
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/186297
Multivariate analysis (62H99) Monte Carlo methods (65C05) Stochastic programming (90C15) Computation of special functions and constants, construction of tables (65D20) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Probabilistic methods, stochastic differential equations (65C99) Software, source code, etc. for problems pertaining to numerical analysis (65-04)
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Cites Work
- Computer methods for sampling from gamma, beta, Poisson and binomial distributions
- Fast procedures for generating stationary normal vectors
- Contributions to the theory of stochastic programming
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
- Computer Evaluation of the Multivariate Normal Integral
- A representation of multivariate normal probability integrals by integral transforms
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