A New Reconstruction of Multivariate Normal Orthant Probabilities

DOI10.1111/j.1467-9868.2007.00625.xOpenAlexW2117482184MaRDI QIDQ3631453

Peter S. Craig

Publication date: 10 June 2009

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2007.00625.x

zbMATH Keywords

orthoschemepolyhedral conesmultivariate normal distributioncumulative distribution functionorthant probabilitiesmultivariate probit modelfractional fast Fourier transform

Mathematics Subject Classification ID

Statistics (62-XX)

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Uses Software

• R
• mvtnorm

Cites Work

• Updating beliefs for binary variables
• The Fractional Fourier Transform and Applications
• Multiple comparison procedures based on the maximal component of the cumulative chi-squared statistic
• Analysis of multivariate probit models
• A Correlated Probit Model for Joint Modeling of Clustered Binary and Continuous Responses
• Marginal Likelihood From the Metropolis–Hastings Output

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