Monte-Carlo evaluation of multivariate normal probabilities

DOI10.1016/0304-4076(95)01792-5zbMath0880.62016OpenAlexW2009916079MaRDI QIDQ1362040

Wim P. M. Vijverberg

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01792-5

zbMATH Keywords

covariance matrixnormal distributionCholesky decompositionimportance sampling distributionantithetical samplingfamily of simulatorsmultinomial probit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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