Computation of the multivariate normal integral

DOI10.1145/138351.138375zbMath0894.65077OpenAlexW2061638686WikidataQ113310590 ScholiaQ113310590MaRDI QIDQ4371819

Zvi Drezner

Publication date: 10 February 1998

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: http://www.acm.org/pubs/contents/journals/toms/1992-18/

zbMATH Keywords

computer programFortranerror control methodmultivariate normal integralGauss quadrature method

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Related Items (10)

Numerical evaluation of singular multivariate normal distributions ⋮ Accelerating convergence in minisum location problem with \(\ell p\) norms ⋮ A distribution map for the one-median location problem on a network ⋮ Complex compound option models -- can practitioners truly operationalize them? ⋮ Using mathematical programming to compute singlular multivariate normal probablities ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ The maximin gradual cover location problem ⋮ Algorithm developments for optimization problems with joint reliability constraints ⋮ Computation of the Trivariate Normal Integral ⋮ Approximations to the multivariate normal integral

Uses Software

• LINPACK
• AS 195

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