Numerical evaluation of singular multivariate normal distributions

DOI10.1080/00949650008812053zbMath0963.62047OpenAlexW2039743397MaRDI QIDQ4525904

Koon-Shing Kwong, A. C. Genz

Publication date: 5 July 2001

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

Full work available at URL: https://doi.org/10.1080/00949650008812053

zbMATH Keywords

tablesmultivariate normalsingular distribution

Mathematics Subject Classification ID

Related Items (10)

Normal variance mixtures: distribution, density and parameter estimation ⋮ Combining dependent F-tests for robust association of quantitative traits under genetic model uncertainty ⋮ A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution ⋮ Unnamed Item ⋮ Evaluating nearly singular multinormal expectations with application to wave distributions ⋮ On the Numerical Availability of Multiple Comparison Procedures ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ Computation of the distribution of the maximum of stationary Gaussian processes ⋮ Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes ⋮ A note on simulating hyperplane-truncated multivariate normal distributions

Uses Software

• MultinomialCI
• AS 195
• AS 251

Cites Work

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• On singular multivariate normal distribution and its applications
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Multiple Comparisons
• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Quick Simultaneous Confidence Intervals for Multinomial Proportions
• A note on the equicorrelated multivariate normal distribution
• Large Sample Simultaneous Confidence Intervals for the Multinomial Probabilities Based on Transformations of the Cell Frequencies
• Randomization of Number Theoretic Methods for Multiple Integration
• Most Stringent Bounds on Aggregated Probabilities of Partially Specified Dependent Probability Systems
• Computation of the multivariate normal integral
• A Graphical Method to Evaluate Sample Sizes for the Multinomial Distribution
• Simultaneous Confidence Intervals and Sample Size Determination for Multinomial Proportions
• Large Sample Simultaneous Confidence Intervals for Multinomial Proportions
• On Simultaneous Confidence Intervals for Multinomial Proportions
• Tests Auxiliary to $\chi^2$ Tests in a Markov Chain
• Approximations to the probability integral and certain percentage points of a multivariate analogue of Student's t-distribution

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