Rectangular and wedge-shaped multivariate normal probabilities

DOI10.1016/S0165-1765(00)00224-XzbMath0951.91063WikidataQ127110822 ScholiaQ127110822MaRDI QIDQ1978721

Wim P. M. Vijverberg

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

simulationnormal distribution

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

Probability Integrals of the Multivariate t Distribution ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ Monte Carlo evaluation of multivariate Student's t probabilities

Cites Work

• The multivariate normal distribution
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Monte-Carlo evaluation of multivariate normal probabilities
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models
• Econometrics

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