Using mathematical programming to compute singlular multivariate normal probablities

DOI10.1080/00949650008812044zbMath0980.62046OpenAlexW2016027918MaRDI QIDQ2702949

Vikrant Bansal, Efstratios N. Pistikopoulos, John D. Perkins

Publication date: 6 March 2002

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650008812044

zbMATH Keywords

parametric programmingprincipal componentssingular multivariate normal distribution

Mathematics Subject Classification ID

Uses Software

• GAMS

Cites Work

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• The numerical evaluation of certain multivariate normal integrals
• On singular multivariate normal distribution and its applications
• Multivariate normal integrals and contingency tables with ordered categories
• A note on singular normal distributions
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Monte carlo computation of some multivariate normal probabilities
• Algorithm 717: Subroutines for maximum likelihood and quasi-likelihood estimation of parameters in nonlinear regression models
• Computation of the multivariate normal integral
• Evaluation of orthant probabilities for singular BI-and trivariate normal distributions
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
• Evaluation of the one-sided percentage points of the singular multivariate normal distribution
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Multiparametric Linear Programming
• Computer Evaluation of the Multivariate Normal Integral
• Bibliography on the Multivariate Normal Integrals and Related Topics
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

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