Multivariate normal integrals for highly correlated samples from a wiener process

DOI10.2307/3212025MaRDI QIDQ5583534zbMATH OpenOpenAlexFDO

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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