Orthant probabilities for the equicorrelated multivariate normal distribution
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...
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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 ...
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We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter-Xing sequences and lattice points) and some samples based on orthogonal arrays (Latin hypercube, orthogonal array and orthogonal array based Latin hy...
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ژورنال
عنوان ژورنال: Biometrika
سال: 1962
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/49.3-4.433