Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces

DOI10.1007/s11222-014-9487-8zbMath1342.60015OpenAlexW2083989482MaRDI QIDQ2631357

Noboru Nomura

Publication date: 29 July 2016

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

Full work available at URL: https://doi.org/10.1007/s11222-014-9487-8

zbMATH Keywords

polyhedral coneconditional distributioncumulative distribution functionorthant probabilityrecursive integration

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (2)

On the probability that the maximum of a polynomial is at an endpoint of an interval ⋮ Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

Uses Software

• Orthants

Cites Work

• Unnamed Item
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• The multivariate normal distribution
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• Recursive integration methodologies with statistical applications
• A New Reconstruction of Multivariate Normal Orthant Probabilities
• The Evaluation of General Non-Centred Orthant Probabilities
• Computation of multivariate normal probabilities with polar coordinate systems
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Bibliography on the Multivariate Normal Integrals and Related Topics

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