An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions

DOI10.2307/1267794zbMath0477.62010OpenAlexW2012319420MaRDI QIDQ3935277

Robert Bohrer, Mark J. Schervish

Publication date: 1981

Published in: Technometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1267794

zbMATH Keywords

multivariate normaladaptive Newton-Cotes quadrature

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99) Statistical distribution theory (62E99)

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A computational algorithm for the coverage probability of a first order autogressive process ⋮ On combining Stein estimation problems: An adaptive rule under classical criteria ⋮ A numerical method for accurately approximating multivariate normal probabilities ⋮ Optimizing Linear Functions of Random Variables having a Joint Multinomial or Multivariate Normal Distribution ⋮ Are ordinal models useful for classification? a revised analysis ⋮ an approximation for multivariate normal probabilities of rectangular regions

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