Computation of Multivariate Normal andtProbabilities
نویسندگان
چکیده
منابع مشابه
Numerical Computation of Multivariate Normal Probabilities
The numerical computation of a multivariate normal probability is often a diicult problem. This article describes a transformation that simpliies the problem and places it into a form that allows eecient calculation using standard numerical multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation, with currently avail...
متن کاملParallel Computation of Multivariate Normal Probabilities
We present methods for the computation of multivari-ate normal probabilities on parallel/ distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasi-random methods. We propose a meta-algorithm for asynchronous sampling methods and derive eecient parallel algorithms for the computation of MVN distribution functions, including ...
متن کاملCharacterizations of Multivariate Normal-Poisson Model
‎Multivariate normal-Poisson model has been recently introduced as a special case of normal stable Tweedie models‎. ‎The model is composed of a univariate Poisson variable‎, ‎and the remaining variables given the Poisson one are independent Gaussian variables with variance the value of the Poisson component‎. ‎Two characterizations of this model are shown‎, ‎...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2010
ISSN: 1548-7660
DOI: 10.18637/jss.v033.b02