Multivariate normal integrals for highly correlated samples from a wiener process

DOI10.2307/3212025zbMATH Open0189.18502OpenAlexW2316760190MaRDI QIDQ5583534FDOQ5583534

Authors: J. A. McFadden, J. L. Lewis 

Publication date: 1967

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3212025

zbMATH Keywords

statistics

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (2)

• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
• Evaluation of the normal distribution function

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