Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results

DOI10.1016/0304-4076(94)01716-6zbMath0849.62064MaRDI QIDQ1915466

Daniel McFadden, Vassilis Argyrou Hajivassiliou, Paul A. Ruud

Publication date: 6 November 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01716-6

zbMATH Keywords

importance sampling; multiple integral; derivatives; Monte Carlo integration; discrete choice models; multinomial probit model; FORTRAN; acceptance/rejection; simulation estimation; crude frequency simulator; Gibbs resampling; kernel-smoothed frequency simulator; negative orthant probability

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

65C05: Monte Carlo methods

65D30: Numerical integration

65C99: Probabilistic methods, stochastic differential equations

Related Items

Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts, Multinomial probit estimation without nuisance parameters, Numerical evaluation of singular multivariate normal distributions, Generic Consistency for Approximate Stochastic Programming and Statistical Problems, Estimating multiple equation hybrid models with endogenous dummy regressors*, A bayesian approach to dynamic tobit models, Maximum likelihood estimation of Gaussian copula models for geostatistical count data, Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence, On the connection between orthant probabilities and the first passage time problem, Seasonal count time series, Simulation-based estimation of peer effects, The efficiency of top agents: an analysis through service strategy in tennis, Efficient estimation of probit models with correlated errors, Simulation-based inference. A survey with special reference to panel data models, Invariance of conditional maximum utility, Fitting mixed-effects models when data are left truncated, Computational issues in the sequential probit model: a Monte Carlo study, Likelihood analysis of the multivariate ordinal probit regression model for repeated ordinal responses, Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results, Forecasting new product penetration with flexible substitution patterns, Monte-Carlo evaluation of multivariate normal probabilities, Statistical inference in the multinomial multiperiod probit model, Hypothesis testing with a restricted parameter space, A comparison of different methods for the estimation of regression models with correlated binary responses., Multivariate regression analysis of panel data with binary outcomes applied to unemployment data, Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators, A Bayesian multivariate probit for ordinal data with semiparametric random-effects, Estimation of dynamic and ARCH Tobit models, Two-level linear paired comparison models: Estimation and identifiability issues, Efficient algorithms for generating truncated multivariate normal distributions, Rectangular and wedge-shaped multivariate normal probabilities, Robust discrete choice models with \(t\)-distributed kernel errors, The dynamic factor network model with an application to international trade, An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals, Bayesian analysis of order-statistics models for ranking data, An accept-reject algorithm for the positive multivariate normal distribution, One-shot CFTP; application to a class of truncated Gaussian densities, Alternative sampling methods for estimating multivariate normal probabilities, Simulated classical tests in multinomial probit models, Estimation of finite sequential games, Computation of Gaussian orthant probabilities in high dimension, Using penalized likelihood to select parameters in a random coefficients multinomial logit model, Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers, Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation, Factor Analysis for Ranked Data with Application to a Job Selection Attitude Survey, Bond pricing when the short-term interest rate follows a threshold process, Identification of peer effects using group size variation

Cites Work