Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations

DOI10.2307/2291331zbMath0843.62016OpenAlexW4254415996MaRDI QIDQ4866621

Publication date: 4 March 1996

Full work available at URL: https://doi.org/10.2307/2291331

computational complexity parameter estimation approximations discrete models moment-generating function second-order approximation conditional expectations regression binary variables orthant probabilities multivariate normal probabilities rectangular regions multidimensional numerical quadrature quasi-Newton routine

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

AS 195

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