Computation of Gaussian orthant probabilities in high dimension
نویسندگان
چکیده
منابع مشابه
Calculation of orthant probabilities by the holonomic gradient method
We apply the holonomic gradient method (HGM) introduced by [9] to the calculation of orthant probabilities of multivariate normal distribution. The holonomic gradient method applied to orthant probabilities is found to be a variant of Plackett’s recurrence relation ([14]). However an implementation of the method yields recurrence relations more suitable for numerical computation than Plackett’s...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2015
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-015-9578-1