Bivariate conditioning approximations for multivariate normal probabilities
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Publication:261036
DOI10.1007/S11222-014-9468-YzbMATH Open1332.62055OpenAlexW2067583625MaRDI QIDQ261036FDOQ261036
Authors: Giang Trinh, A. Genz 
Publication date: 22 March 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-014-9468-y
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Cites Work
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- Likelihood inference in a correlated probit regression model
- The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
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- Moments of the censored and truncated bivariate normal distribution
Cited In (22)
- Title not available (Why is that?)
- an approximation for multivariate normal probabilities of rectangular regions
- Evaluation of Normal Probabilities of Symmetric Regions
- Approximations to the multivariate normal integral
- An approximation method for bivariate and multvariate normal equiprobability contours
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- Numerical computation of multivariate normal probabilities using bivariate conditioning
- Bivariate distributions with transmuted conditionals: Models and applications
- Some conditional expectation identities for the multivariate normal
- Fast computation of high-dimensional multivariate normal probabilities
- A limit formula and a series expansion for the bivariate normal tail probability
- Exploiting low-rank covariance structures for computing high-dimensional normal and Student-\(t\) probabilities
- Hierarchical-block conditioning approximations for high-dimensional multivariate normal probabilities
- An error-bounded polynomial approximation for bivariate normal probabilities
- Novel bivariate moment-closure approximations
- Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
- Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
- Scalable Computation of Predictive Probabilities in Probit Models with Gaussian Process Priors
- A unified framework for closed-form nonparametric regression, classification, preference and mixed problems with skew Gaussian processes
- A simple method for generalized sequential compound options pricing
- Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results
- Refining analytic approximation based estimation of mixed multinomial probit models by parameter selection
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