The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution

DOI10.1007/s00180-011-0267-zzbMath1304.65038OpenAlexW1968934234MaRDI QIDQ2512741

Y. Lin, Anthony J. Hayter

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-011-0267-z

zbMATH Keywords

numerical integrationmultivariate normal distributioncomputational intensityorthant probabilityquadrivariate normal distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (1)

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

Uses Software

• AS 195

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computation of multivariate normal and \(t\) probabilities
• Recursive integration methodologies with statistical applications
• On the Numerical Availability of Multiple Comparison Procedures
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Exact Simultaneous Confidence Intervals for Multiple Comparisons Among Three or Four Mean Values
• Two expansions for the quadrivariate normal integral
• A representation for quadrivariate normal positive orthant probabilities
• The Evaluation of General Non-Centred Orthant Probabilities
• OH Radical-Initiated Reaction of 3-Hexene-2,5-dione:  Formation of Methylglyoxal
• The Orthant Probabilities of Four Gaussian Variates

This page was built for publication: The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution