Monte-Carlo evaluation of multivariate normal probabilities (Q1362040)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte-Carlo evaluation of multivariate normal probabilities |
scientific article |
Statements
Monte-Carlo evaluation of multivariate normal probabilities (English)
0 references
3 August 1997
0 references
normal distribution
0 references
family of simulators
0 references
multinomial probit
0 references
Cholesky decomposition
0 references
covariance matrix
0 references
importance sampling distribution
0 references
antithetical sampling
0 references
0 references
0 references
0 references
0 references
