Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces

DOI10.1007/S11222-014-9487-8MaRDI QIDQ2631357zbMATH OpenOpenAlexFDO

Authors Noboru Nomura

Publication date 29 July 2016

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

Full work available at URL https://doi.org/10.1007/s11222-014-9487-8

zbMATH Keywords

conditional distributioncumulative distribution functionorthant probabilitypolyhedral conerecursive integration

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15)

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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 multivariate normal and t probabilities
• Computation of multivariate normal probabilities with polar coordinate systems
• scientific article; zbMATH DE number 3105192 (Why is no real title available?)
• Probability Integrals of Multivariate Normal and Multivariate t¹
• Recursive integration methodologies with statistical applications
• 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

(10)

• Orthant probabilities of elliptical distributions from orthogonal projections to subspaces
• Computation of Gaussian orthant probabilities in high dimension
• On the probability that the maximum of a polynomial is at an endpoint of an interval
• scientific article; zbMATH DE number 4211276 (Why is no real title available?)
• Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
• scientific article; zbMATH DE number 1536494 (Why is no real title available?)
• scientific article; zbMATH DE number 219002 (Why is no real title available?)
• Computation of multivariate normal probabilities with polar coordinate systems
• On the connection between orthant probabilities and the first passage time problem
• Multi-Parameter One-Sided Monitoring Tests

Describes a project that uses

Uses Software

• Orthants

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