An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals
DOI10.1007/s10444-021-09888-1OpenAlexW3197024598MaRDI QIDQ2230582
Fuhui Fang, Jian Cao, Marc G. Genton, George M. Turkiyyah, Jingfang Huang, David E. Keyes
Publication date: 24 September 2021
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10444-021-09888-1
Fourier transformhierarchical algorithmlow-dimensional structurelow-rank structureexponential covariance modeltruncated multi-variate normal distribution
Multivariate distribution of statistics (62H10) Green's functions for ordinary differential equations (34B27) Numerical methods for trigonometric approximation and interpolation (65T40) Recursive functions and relations, subrecursive hierarchies (03D20) Numerical integration (65D30)
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