Fast computation of high-dimensional multivariate normal probabilities

DOI10.1016/j.csda.2010.10.005zbMath1328.65039OpenAlexW2093031124WikidataQ57834992 ScholiaQ57834992MaRDI QIDQ901525

Ioannis Phinikettos, Axel Gandy

Publication date: 12 January 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.10.005

zbMATH Keywords

Monte Carlo methodssingular valuesmultivariate normal distribution

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05)

Related Items

Skew Gaussian processes for classification ⋮ An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. I: Fundamentals ⋮ Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities ⋮ A unified framework for closed-form nonparametric regression, classification, preference and mixed problems with skew Gaussian processes

Uses Software

• R
• mvtnorm
• AS 195
• QSIMVN

Cites Work

• Computation of multivariate normal and \(t\) probabilities
• Three digit accurate multiple normal probabilities
• Monte-Carlo evaluation of multivariate normal probabilities
• A numerical method for accurately approximating multivariate normal probabilities
• Alternative sampling methods for estimating multivariate normal probabilities
• Stochastic simulation: Algorithms and analysis
• Model-Checking Techniques Based on Cumulative Residuals
• A Multiple Comparison Procedure for Comparing Several Treatments with a Control
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Likelihood inference in a correlated probit regression model
• The Evaluation of General Non-Centred Orthant Probabilities
• The Grouped Continuous Model for Multivariate Ordered Categorical Variables and Covariate Adjustment
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function