Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

DOI10.1007/S11222-018-9808-4MaRDI QIDQ2329767zbMATH OpenOpenAlexFDO

Authors Noboru Nomura

Publication date 18 October 2019

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-018-9808-4

zbMATH Keywords

cumulative distribution functionelliptical distributionorthant probabilitypolyhedral conerecursive integration

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Exact distribution theory in statistics (62E15)

Recommendations

• Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces
• scientific article; zbMATH DE number 1536494
• The Evaluation of General Non-Centred Orthant Probabilities
• Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
• An approximation of multivariate normal orthant probabilities of dimension 4: a contingency-table approach

Cites work

• A New Reconstruction of Multivariate Normal Orthant Probabilities
• Bibliography on the Multivariate Normal Integrals and Related Topics
• Calculations of level probabilities for normal random variables with unequal variances with applications to Bartholomew's test in unbalanced one-way models.
• Computation of Gaussian orthant probabilities in high dimension
• Computation of multivariate normal and t probabilities
• Computation of multivariate normal probabilities with polar coordinate systems
• Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces
• scientific article; zbMATH DE number 50804 (Why is no real title available?)
• scientific article; zbMATH DE number 3105192 (Why is no real title available?)
• Probability Integrals of Multivariate Normal and Multivariate t¹
• The Evaluation of General Non-Centred Orthant Probabilities
• The multivariate normal distribution
• The use of the tetrachoric series for evaluating multivariate normal probabilities

Cited in

(1)

• Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces

Describes a project that uses

Uses Software

• Orthants
• QSIMVN

This page was built for publication: Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2329767)