Numerical evaluation of singular multivariate normal distributions
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Publication:4525904
DOI10.1080/00949650008812053zbMATH Open0963.62047OpenAlexW2039743397MaRDI QIDQ4525904FDOQ4525904
Authors: Koon-Shing Kwong, A. Genz 
Publication date: 5 July 2001
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650008812053
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Multivariate distribution of statistics (62H10) Parametric tolerance and confidence regions (62F25) Numerical integration (65D30)
Cites Work
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- Simultaneous Confidence Intervals and Sample Size Determination for Multinomial Proportions
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- Large Sample Simultaneous Confidence Intervals for Multinomial Proportions
- On Simultaneous Confidence Intervals for Multinomial Proportions
- Tests Auxiliary to $\chi^2$ Tests in a Markov Chain
- Multiple Comparisons
- Approximations to the probability integral and certain percentage points of a multivariate analogue of Student's t-distribution
- Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
- Most Stringent Bounds on Aggregated Probabilities of Partially Specified Dependent Probability Systems
- Title not available (Why is that?)
- Computation of the multivariate normal integral
- Randomization of Number Theoretic Methods for Multiple Integration
- Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
- A note on the equicorrelated multivariate normal distribution
- Quick Simultaneous Confidence Intervals for Multinomial Proportions
- Large Sample Simultaneous Confidence Intervals for the Multinomial Probabilities Based on Transformations of the Cell Frequencies
- On singular multivariate normal distribution and its applications
- A Graphical Method to Evaluate Sample Sizes for the Multinomial Distribution
Cited In (17)
- Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
- Normal variance mixtures: distribution, density and parameter estimation
- Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
- Computation of the distribution of the maximum of stationary Gaussian processes
- Evaluating nearly singular multinormal expectations with application to wave distributions
- Are multiple contrast tests superior to the ANOVA?
- Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
- Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
- Nonparametric all-pairs multiple comparisons
- Singular rules for the calculation of non-normal multivariate Padé approximants
- On the numerical availability of multiple comparison procedures
- Combining dependent \(F\)-tests for robust association of quantitative traits under genetic model uncertainty
- On singular multivariate normal distribution and its applications
- Title not available (Why is that?)
- Using mathematical programming to compute singlular multivariate normal probablities
- A note on simulating hyperplane-truncated multivariate normal distributions
- A gradient formula for linear chance constraints under Gaussian distribution
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