Computer Evaluation of the Multivariate Normal Integral

DOI10.2307/1267136zbMATH Open0243.62015OpenAlexW4234373011MaRDI QIDQ5654873FDOQ5654873

Roy C. Milton

Publication date: 1972

Full work available at URL: https://doi.org/10.2307/1267136

Mathematics Subject Classification ID

Multivariate analysis (62H99) Numerical integration (65D30) Statistical distribution theory (62E99)

Cited In (13)

• Valuing flexibility: An impulse control framework
• an approximation for multivariate normal probabilities of rectangular regions
• Three digit accurate multiple normal probabilities
• Optimizing Linear Functions of Random Variables having a Joint Multinomial or Multivariate Normal Distribution
• Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
• Evaluation of the normal distribution function
• Some statistical implications of multivariate inequality constrained testing
• The numerical evaluation of certain multivariate normal integrals
• Multivariate normal integrals and contingency tables with ordered categories
• A numerical method for accurately approximating multivariate normal probabilities
• Using mathematical programming to compute singlular multivariate normal probablities
• The evaluation of bivariate normal probabilities for failure of parallel systems
• On combining Stein estimation problems: An adaptive rule under classical criteria

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