Using mathematical programming to compute singlular multivariate normal probablities

DOI10.1080/00949650008812044MaRDI QIDQ2702949zbMATH OpenOpenAlexFDO

Authors Vikrant Bansal, John D. Perkins, Efstratios N. Pistikopoulos

Publication date 6 March 2002

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650008812044

zbMATH Keywords

principal componentssingular multivariate normal distributionparametric programming

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Linear programming (90C05) Applications of mathematical programming (90C90)

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Cites work

• scientific article; zbMATH DE number 4045470 (Why is no real title available?)
• scientific article; zbMATH DE number 3679037 (Why is no real title available?)
• scientific article; zbMATH DE number 40987 (Why is no real title available?)
• scientific article; zbMATH DE number 3311324 (Why is no real title available?)
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• A note on singular normal distributions
• Algorithm 717: Subroutines for maximum likelihood and quasi-likelihood estimation of parameters in nonlinear regression models
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
• Bibliography on the Multivariate Normal Integrals and Related Topics
• Computation of the multivariate normal integral
• Computer Evaluation of the Multivariate Normal Integral
• Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
• Evaluation of the one-sided percentage points of the singular multivariate normal distribution
• Monte carlo computation of some multivariate normal probabilities
• Multiparametric Linear Programming
• Multivariate normal integrals and contingency tables with ordered categories
• On singular multivariate normal distribution and its applications
• Probability Integrals of Multivariate Normal and Multivariate t¹
• The numerical evaluation of certain multivariate normal integrals

Cited in

(4)

• Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
• Evaluating nearly singular multinormal expectations with application to wave distributions
• Abstract tubes associated with perturbed polyhedra with applications to multidimensional normal probability computations
• Numerical evaluation of singular multivariate normal distributions

Describes a project that uses

Uses Software

• GAMS

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