Rectangular and wedge-shaped multivariate normal probabilities

DOI10.1016/S0165-1765(00)00224-XMaRDI QIDQ1978721zbMATH OpenWikidataFDO

Authors Wim P. M. Vijverberg

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(00)00224-X

zbMATH Keywords

normal distributionsimulation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models
• Econometrics
• Monte-Carlo evaluation of multivariate normal probabilities
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• The multivariate normal distribution

Cited in

(6)

• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Alternative sampling methods for estimating multivariate normal probabilities
• Probability Integrals of the Multivariate t Distribution
• A class of rectangle-screened multivariate normal distributions and its applications
• Computing probabilites of rectangles in case of multinormal distribution
• Monte Carlo evaluation of multivariate Student's t probabilities

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