Approximations to the multivariate normal integral

DOI10.1080/03610919008812873zbMath0718.62033OpenAlexW1971055891MaRDI QIDQ5750107

Zvi Drezner

Publication date: 1990

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919008812873

zbMATH Keywords

approximationmultivariate normal probabilities

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A Contrasting Study of Likelihood Methods for the Analysis of Longitudinal Binary Data ⋮ Computation of the quadrivariate and pentavariate normal cumulative distribution functions ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ Simultaneous acceptance control charts for products with multiple correlated characteristics

Uses Software

• AS 195

Cites Work

• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Computation of the multivariate normal integral
• Unnamed Item

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