Holonomic modules associated with multivariate normal probabilities of polyhedra

DOI10.1619/FESI.59.217MaRDI QIDQ2977490zbMATH OpenOpenAlexFDO

Authors Tamio Koyama

Publication date 18 April 2017

Published in Funkcialaj Ekvacioj (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.6905

zbMATH Keywords

convex polyhedronholonomic modulesPfaffian equationinclusion-exclusion identityholonomic rank

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) (n)-dimensional polytopes (52B11) Sheaves of differential operators and their modules, (D)-modules (32C38)

Abstract: The probability content of a convex polyhedron with a multivariate normal distribution can be regarded as a real analytic function. We give a system of linear partial differential equations with polynomial coefficients for the function and show that the system induces a holonomic module. The rank of the holonomic module is equal to the number of nonempty faces of the convex polyhedron, and we provide an explicit Pfaffian equation (an integrable connection) that is associated with the holonomic module. These are generalizations of results for the Schl"afli function that were given by Aomoto.

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(1)

• Abstract tubes associated with perturbed polyhedra with applications to multidimensional normal probability computations

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