Computation of the quadrivariate and pentavariate normal cumulative distribution functions

DOI10.1080/03610918.2017.1295151MaRDI QIDQ5084747zbMATH OpenOpenAlexFDO

Authors Tristan Guillaume

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1295151

zbMATH Keywords

multivariate normal distributionquadrivariate normal distributionmultivariate normal order statisticspentavariate normal distribution

Mathematics Subject Classification ID

Numerical integration (65D30)

Cites work

• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• scientific article; zbMATH DE number 3373118 (Why is no real title available?)
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
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• A representation for quadrivariate normal positive orthant probabilities
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• An adaptive algorithm for the approximate calculation of multiple integrals
• Approximations to the multivariate normal integral
• Computation of multivariate normal and \(t\) probabilities
• Computation of the Trivariate Normal Integral
• Covariances of zero crossings in Gaussian processes
• Cuba -- a library for multidimensional numerical integration
• OH Radical-Initiated Reaction of 3-Hexene-2,5-dione:  Formation of Methylglyoxal
• Tables for Computing Bivariate Normal Probabilities
• The Orthant Probabilities of Four Gaussian Variates
• The multivariate normal distribution
• The variance of Spearman's rho in normal samples
• Two expansions for the quadrivariate normal integral

Cited in

(2)

• On the multidimensional Black-Scholes partial differential equation
• Closed form valuation of barrier options with stochastic barriers

Describes a project that uses

Uses Software

• Cuba

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