Computation of Gaussian orthant probabilities in high dimension

DOI10.1007/s11222-015-9578-1zbMath1505.62339arXiv1411.1314OpenAlexW1871221873MaRDI QIDQ2628890

James Ridgway

Publication date: 19 July 2016

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

Full work available at URL: https://arxiv.org/abs/1411.1314

zbMATH Keywords

orthant probabilitySMCPFGeweke-Hajivassiliou-Keane (GHK) algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

Related Items (7)

Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results ⋮ Adaptive tuning of Hamiltonian Monte Carlo within sequential Monte Carlo ⋮ An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals ⋮ Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation ⋮ Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation ⋮ Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities ⋮ Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

Uses Software

• Orthants
• QSIMVN
• tmg

Cites Work

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