Recursive integration methodologies with applications to the evaluation of multivariate normal probabilities

DOI10.1080/15598608.2011.10483732zbMath1420.62282OpenAlexW2069056830MaRDI QIDQ2324164

Anthony J. Hayter

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2011.10483732

zbMATH Keywords

numerical integrationmultivariate normal distributioncomputational intensityorthant probabilitytree structuretri-diagonal matrixrecursive integration

Mathematics Subject Classification ID

Multivariate analysis (62H99)

Related Items (2)

Lattice meets lattice: application of lattice cubature to models in lattice gauge theory ⋮ Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities

Cites Work

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• Computation of multivariate normal and \(t\) probabilities
• The multivariate normal distribution
• Multiple testing and simultaneous confidence intervals: calculation of constants
• Recursive integration methodologies with statistical applications
• The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution
• On the Numerical Availability of Multiple Comparison Procedures
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
• The Evaluation of General Non-Centred Orthant Probabilities

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