Monte-Carlo evaluation of multivariate normal probabilities

DOI10.1016/0304-4076(95)01792-5zbMATH Open0880.62016OpenAlexW2009916079MaRDI QIDQ1362040FDOQ1362040

Wim P. M. Vijverberg

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01792-5

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zbMATH Keywords

normal distributioncovariance matrixCholesky decompositionimportance sampling distributionantithetical samplingfamily of simulatorsmultinomial probit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

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Cited In (16)

• Title not available (Why is that?)
• Efficient estimation of probit models with correlated errors
• Probability Integrals of the Multivariate t Distribution
• Rectangular and wedge-shaped multivariate normal probabilities
• Simulated classical tests in multinomial probit models
• Fast computation of high-dimensional multivariate normal probabilities
• Two-level linear paired comparison models: Estimation and identifiability issues
• Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
• Estimation of dynamic and ARCH Tobit models
• Multivariate discrete distributions induced by an urn scheme, linear Diophantine equations, unbiased estimating, testing and applications
• Alternative sampling methods for estimating multivariate normal probabilities
• The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's
• Title not available (Why is that?)
• Fitting mixed-effects models when data are left truncated
• Monte carlo computation of some multivariate normal probabilities
• The evaluation of bivariate normal probabilities for failure of parallel systems

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