scientific article; zbMATH DE number 426223
analysis of meanscomplex normal probability integralcorrelation matrixcritical pointsmultivariate \(t\) distributionmultivariate normal integralsnormal distributionsingular distributionunequal sample sizes
Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99) Computation of special functions and constants, construction of tables (65D20) Numerical quadrature and cubature formulas (65D32)
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- An evaluation of the integral of the product of the error function and the normal probability density with application to the bivariate normal integral
- Dimension reduction and \(L_ 1\) approximation for evaluation of multivariate normal integral
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