Approximations to Multivariate Normal Orthant Probabilities

DOI10.1214/AOMS/1177704254MaRDI QIDQ5657551zbMATH OpenOpenAlexWikidataFDO

Authors Ralph Hoyt Bacon

Publication date 1963

Published in Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoms/1177704254

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited in

(11)

• A short table for computing normal orthant probabilities of dimensions 4 and 5
• Densities in certain three-way prime number races
• Condorcet's paradox
• Permutation entropy of fractional Brownian motion and fractional Gaussian noise
• Efficient recursive computational algorithms for multivariate \(t\) and multivariate unified skew-\(t\) distributions with applications to inference
• Evaluation of the normal distribution function
• A representation for quadrivariate normal positive orthant probabilities
• A general reduction method for n–variate normal orthant probability
• Dynamical properties of single-file diffusion
• Proportions of profiles with a majority candidate
• Algorithm developments for optimization problems with joint reliability constraints

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