Computation of multivariate normal probabilities with polar coordinate systems

DOI10.1080/00949655.2012.717224zbMath1453.62166OpenAlexW1987304420MaRDI QIDQ5219278

Noboru Nomura

Publication date: 9 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2012.717224

zbMATH Keywords

polyhedral conepolar coordinatescumulative distribution functionorthant probabilityrecursive integration

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Computational methods for problems pertaining to statistics (62-08)

Related Items (2)

Evaluation of Gaussian orthant probabilities based on orthogonal projections to subspaces ⋮ Orthant probabilities of elliptical distributions from orthogonal projections to subspaces

Uses Software

• Orthants
• QSIMVN

Cites Work

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• Computation of multivariate normal and \(t\) probabilities
• The use of the tetrachoric series for evaluating multivariate normal probabilities
• The multivariate normal distribution
• Calculations of level probabilities for normal random variables with unequal variances with applications to Bartholomew's test in unbalanced one-way models.
• Recursive integration methodologies with statistical applications
• A New Reconstruction of Multivariate Normal Orthant Probabilities
• The Evaluation of General Non-Centred Orthant Probabilities

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