Evaluation of a special multivariate gamma distribution function

DOI10.1007/BFb0121111zbMath0606.65098OpenAlexW2107005819MaRDI QIDQ3745231

Tamás Szántai

Publication date: 1986

Published in: Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0121111

zbMATH Keywords

stochastic programmingnumerical integrationseries expansionMonte Carlo methodLaguerre polynomialsbivariate gamma probability distribution function

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Computation of special functions and constants, construction of tables (65D20) Probabilistic methods, stochastic differential equations (65C99) Statistical distribution theory (62E99)

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Cites Work

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• Three digit accurate multiple normal probabilities
• Bonferroni inequalities
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Inequalities for the probability of the occurrence of at least m out of n events
• Computer generation of gamma random variates with non-integral shape parameters
• Polynomial Expansions of Bivariate Distributions
• Correlations and Canonical Forms of Bivariate Distributions

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