scientific article; zbMATH DE number 4009585

MaRDI QIDQ3759740zbMATH OpenFDO

Authors Goro Nagase, K. S. Banerjee

Publication date 1986

zbMATH Keywords

exponentialdecompositionsmarginal and conditional distributionsintegrations in the multivariate normaljoint moment generating functions of quadratic forms

Mathematics Subject Classification ID

Multivariate analysis (62H99) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

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(11)

• An Extension of Plackett’s Differential Equation for the Multivariate Normal Density
• Computation of the Trivariate Normal Integral
• A simple approximation for the bivariate normal integral
• An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions
• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
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