The use of the tetrachoric series for evaluating multivariate normal probabilities

DOI10.1016/0047-259X(80)90017-2zbMath0438.62043MaRDI QIDQ1141993

Andrew P. Soms, Bernard Harris

Publication date: 1980

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

convergence propertiescorrelation matrixevaluating multivariate normal probabilitiestetrachoric series

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

A joint chance-constrained programming model with row dependence, Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces, A novel series expansion for the multivariate normal probability integrals based on Fourier series, Monte carlo computation of some multivariate normal probabilities, Expansions for the multivariate chi-square distribution, an approximation for multivariate normal probabilities of rectangular regions, Computation of multivariate normal probabilities with polar coordinate systems, Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

Cites Work

• A Table for Computing Trivariate Normal Probabilities
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Rank correlation and product-moment correlation
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
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