Holonomic modules associated with multivariate normal probabilities of polyhedra

DOI10.1619/FESI.59.217zbMATH Open1360.65045arXiv1311.6905OpenAlexW2963331677MaRDI QIDQ2977490FDOQ2977490

Authors: Tamio Koyama 

Publication date: 18 April 2017

Published in: Funkcialaj Ekvacioj (Search for Journal in Brave)

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.

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

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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)

Cited In (1)

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

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