A general reduction method for n–variate normal orthant probability

DOI10.1080/03610928808829845zbMath0696.62055OpenAlexW2147428128MaRDI QIDQ3473024

Hongjie Sun

Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829845

zbMATH Keywords

Fourier transformreductionmultivariate normal distributionorthant probability

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (11)

One-Sided Tests in Linear Models with Multivariatet-Distribution ⋮ Testing for or against a trend in odds ratios ⋮ On restricted hypotheses in extreme value regression models ⋮ Restricted methods in symmetrical linear regression models ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Comparison between confidence intervals of linear regression models with and without restrication ⋮ Generalized orthogonal contrast tests for homogeneity of ordered means ⋮ On the connection between orthant probabilities and the first passage time problem ⋮ Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions ⋮ A note on the orthant probability of the elliptically contoured distribution ⋮ The one-way layout with ordered parameters: a survey of advances since 1988

Cites Work

• A representation for quadrivariate normal positive orthant probabilities
• The Orthant Probabilities of Four Gaussian Variates
• Approximations to Multivariate Normal Orthant Probabilities
• A representation of multivariate normal probability integrals by integral transforms

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