Computation of the Trivariate Normal Integral

DOI10.2307/2153409zbMath0798.65138OpenAlexW2065859486MaRDI QIDQ4286600

Zvi Drezner

Publication date: 30 October 1994

Full work available at URL: https://doi.org/10.2307/2153409

zbMATH Keywords

computational experimentsorthant probabilitiesFORTRAN programtrivariate normal integraltrivariate normal probabilities

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Computation of special functions and constants, construction of tables (65D20) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• AS 195

Cites Work

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• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Computation of the Bivariate Normal Integral
• Computation of the multivariate normal integral
• A note on the evaluation of the multivariate normal integral
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

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