Evaluation of Normal Probabilities of Symmetric Regions

DOI10.1137/0909028zbMath0642.65098OpenAlexW2030453230MaRDI QIDQ3783485

Satish Iyengar

Publication date: 1988

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6e297f7735f174e871695e62d5dc0f55407bf734

zbMATH Keywords

exceedance probabilitiesmultivariate normal probabilityequicorrelated normalpermutation-symmetric region

Mathematics Subject Classification ID

Multivariate analysis (62H99) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

A practical volume algorithm ⋮ Percentage Points of the Multivariate t Distribution ⋮ Simultaneous identifications of the minimum effective dose in each of several groups

Uses Software

• AS 195

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