Hierarchical-block conditioning approximations for high-dimensional multivariate normal probabilities

DOI10.1007/s11222-018-9825-3zbMath1430.62094OpenAlexW2887086773MaRDI QIDQ2329785

George M. Turkiyyah, Jian Cao, Marc G. Genton, David E. Keyes

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/630440

zbMATH Keywords

hierarchical representationspatial covariance functionsblock reordering\(d\)-dimensional conditioningunivariate reordering

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Order statistics; empirical distribution functions (62G30) Monte Carlo methods (65C05)

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Uses Software

• LAPACK
• R
• sn
• QSIMVN

Cites Work

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