Probability Integrals of the Multivariate t Distribution

DOI10.1111/J.1751-5823.2007.00021.XzbMATH Open1379.62039OpenAlexW2161876743MaRDI QIDQ3182011FDOQ3182011

Samuel Kotz, Saralees Nadarajah

Publication date: 1 October 2009

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.2007.00021.x

Recommendations

• Probability inequalities of the multivariate \(t\) distribution
• Probability integrals of the multivariate \(t\) distribution
• Percentage Points of the Multivariate t Distribution
• Computation of multivariate normal and \(t\) probabilities
• Multivariate T-Distributions and Their Applications

zbMATH Keywords

multivariate normal distributionprobability integralsmultivariate \(t\) distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Algorithm AS 184: Non-Central Studentized Maximum and Related Multiple-t Probabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES
• On the numerical availability of multiple comparison procedures
• Title not available (Why is that?)
• Title not available (Why is that?)
• Monte-Carlo evaluation of multivariate normal probabilities
• Rectangular and wedge-shaped multivariate normal probabilities
• The bivariate normal integral
• Monte Carlo evaluation of multivariate Student's t probabilities
• Error bounds for asymptotic expansions of scale mixtures of univariate and multivariate distributions
• Closure of multivariate \(t\) and related distributions
• Sharp error bounds for asymptotic expansions of the distribution functions for scale mixtures
• Adaptive, Self-Validating Numerical Quadrature
• Randomization of lattice rules for numerical multiple integration
• A multivariate t probability integral
• Critical values for multiple testing and comparisons: one step and step down procedures.
• Non-uniform error bounds for asymptotic expansions of scale mixtures of distributions
• A representation of multivariate normal probability integrals by integral transforms
• THE PROBABILITY INTEGRAL FOR TWO VARIABLES
• Multiple testing and simultaneous confidence intervals: calculation of constants
• On the Computation of a Bivariate t-Distribution
• On the distribution of the studentized maximum of equally correlated normal random variables
• Empirical bayes estimation of the mean in a multivariate normal distribution
• Comparison of algorithms for bivariate normal probability over a rectangle based on self-validated results from interval analysis^∗
• Evaluation of Some Cumulative Distribution Functions by Numerical Quadrature
• On estimation of probabilities of linear inequalities for multivariate \(T\)-distributions
• On computing the probability integral of a general multivariate t
• Power of Bivariate Studentized Maximum and Minimum Modulus Tests

Cited In (2)

• Probability inequalities of the multivariate \(t\) distribution
• Title not available (Why is that?)

This page was built for publication: Probability Integrals of the Multivariate t Distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3182011)