Normal orthant probabilities in the equicorrelation case (Q1577984)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Normal orthant probabilities in the equicorrelation case |
scientific article; zbMATH DE number 1496356
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Normal orthant probabilities in the equicorrelation case |
scientific article; zbMATH DE number 1496356 |
Statements
Normal orthant probabilities in the equicorrelation case (English)
0 references
27 August 2000
0 references
Based on algebraic methods in the theory of matrices, distinct from previously existing techniques, the main result of the paper is to obtain a general differential equation that governs the orthant probabilities of the equicorrelated multivariate normal distribution. Solving this differential equation, a new useful reduction, more suitable for computation, is provided by the proposed expansion formula for the orthant probabilities in the equicorrelated case.
0 references
quadratic forms
0 references
differential equation
0 references
orthant probabilities
0 references
equicorrelated multivariate normal distribution
0 references
expansion formula
0 references
