Computing probabilites of rectangles in case of multinormal distribution
DOI10.1080/00949658608810951zbMATH Open0621.65146OpenAlexW2006753370MaRDI QIDQ3757362FDOQ3757362
Publication date: 1986
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658608810951
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Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Distribution theory (60E99)
Cites Work
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- Contributions to the theory of stochastic programming
- Three digit accurate multiple normal probabilities
- Solving stochastic programming problems with recourse including error bounds
- Computational methods for solving two-stage stochastic linear programming problems
- An economical method for random number generation and a normal generator
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Cited In (12)
- Evaluating nearly singular multinormal expectations with application to wave distributions
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- Rectangular and wedge-shaped multivariate normal probabilities
- Second-order differentiability of probability functions
- Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
- (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution
- Generalized gradients for probabilistic/robust (probust) constraints
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Linear regression estimators for multinormal distributions in optimization of stochastic programming problems
- Title not available (Why is that?)
- A probit model for multivariate random length ordinal data
- A gradient formula for linear chance constraints under Gaussian distribution
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