The Numerical Evaluation of Certain Multivariate Normal Integrals
نویسندگان
چکیده
منابع مشابه
Approximation of certain multivariate integrals
A Taylor series approximation to multivariate integrals taken with respect to a multivariate probability distribution is proposed and applied to the computation of multivariate normal probabilities and conditional expectations. The approximation does not require that the multivariate distribution have a structured covariance matrix and, in its simplest form, can be written as the product of uni...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1962
ISSN: 0003-4851
DOI: 10.1214/aoms/1177704581