Evaluating nearly singular multinormal expectations with application to wave distributions

DOI10.1007/S11009-006-7289-YMaRDI QIDQ2433255zbMATH OpenOpenAlexFDO

Authors Per A. Brodtkorb

Publication date 27 October 2006

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-006-7289-y

zbMATH Keywords

algorithmmultivariate normal probabilitiesnumerical examplesnumerical integrationsingular distributionwave crest amplitude and crest velocity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

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Cites work

• A new algorithm for adaptive multidimensional integration
• A note on Durbin's formula for the first-passage density
• Algorithm 698: DCUHRE
• Algorithm 823
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
• Computing probabilites of rectangles in case of multinormal distribution
• Confidence bands for linear regressions
• General multi-dimensional probability integration by directional simulation
• How reliable are contour curves? Confidence sets for level contours
• scientific article; zbMATH DE number 991430 (Why is no real title available?)
• scientific article; zbMATH DE number 3854294 (Why is no real title available?)
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• scientific article; zbMATH DE number 697763 (Why is no real title available?)
• scientific article; zbMATH DE number 4189084 (Why is no real title available?)
• Numerical evaluation of singular multivariate normal distributions
• Numerically stable generation of correlation matrices and their factors
• On a Device for Computing the e m (S n ) Transformation
• Randomization of Number Theoretic Methods for Multiple Integration
• Rational Chebyshev Approximations for the Error Function
• Remarks on a Multivariate Transformation
• Simultaneous distributions of space-time wave characteristics in a Gaussian sea
• Spherical-Radial Integration Rules for Bayesian Computation
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• The multivariate normal distribution
• Three digit accurate multiple normal probabilities

Cited in

(6)

• An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. II: computing moments and sparse grid acceleration
• Computing bounds on the expected maximum of correlated normal variables
• Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
• Computation of the distribution of the maximum of stationary Gaussian processes
• Bounds on the expected value of maximum loss of fractional Brownian motion
• Chord-length distribution functions and Rice formulae. Application to random media

Describes a project that uses

Uses Software

• Algorithm 823
• VEGAS
• QSIMVN
• DCUHRE
• VTK
• AS 195
• AS 6
• WAFO

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