Monte carlo computation of some multivariate normal probabilities

DOI10.1080/00949658808811088zbMath0649.62045OpenAlexW2042025698MaRDI QIDQ3795070

Tim B. Swartz, Michael Evans

Publication date: 1988

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658808811088

zbMATH Keywords

variance reductionMonte Carlo estimatorcurved simplicescomputation of orthant probabilitiessampling from Gauss rules

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Monte-Carlo evaluation of multivariate normal probabilities ⋮ Evaluation of orthant probabilities for singular BI-and trivariate normal distributions ⋮ Using mathematical programming to compute singlular multivariate normal probablities ⋮ On inadmissibility of Hotelling \(T^{2}\)-tests for restricted alternatives. ⋮ Some cross-product difference statistics and a test for trends in ordered contingency tables

Cites Work

• The use of the tetrachoric series for evaluating multivariate normal probabilities
• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
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