A numerical method for accurately approximating multivariate normal probabilities

DOI10.1016/0167-9473(92)90007-3zbMath0850.62192OpenAlexW1984113983MaRDI QIDQ1896182

Yanyan Li

Publication date: 17 August 1995

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(92)90007-3

zbMATH Keywords

interval analysisautomatic differentiationmultivariate normal probability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Computing the noncentral-\(F\) distribution and the power of the \(F\)-test with guaranteed accuracy ⋮ Fast computation of high-dimensional multivariate normal probabilities ⋮ Algorithm developments for optimization problems with joint reliability constraints

Uses Software

• AS 195

Cites Work

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• The numerical evaluation of certain multivariate normal integrals
• Automatic differentiation: techniques and applications
• On the accuracy and cost of numerical integration in several variables^∗
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Adaptive, Self-Validating Numerical Quadrature
• An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Computer Evaluation of the Multivariate Normal Integral
• An Error Analysis for Numerical Differentiation