A numerical method for accurately approximating multivariate normal probabilities
type: Item
instance of: scholarly article
title: A numerical method for accurately approximating multivariate normal probabilities
zbMATH Open document ID: 0850.62192
DOI: 10.1016/0167-9473(92)90007-3
author: Yanyan Li
published in: Computational Statistics and Data Analysis
publication date: 1995-08-17T00:00:00Z
Mathematics Subject Classification ID: 62E17
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 787488
zbMATH Keywords: interval analysis
zbMATH Keywords: automatic differentiation
zbMATH Keywords: multivariate normal probability
describes a project that uses: AS 195
MaRDI profile type: Publication
full work available at URL: 0167-9473(92)90007-3
OpenAlex ID: W1984113983
cites work: Q3345690
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cites work: Adaptive, Self-Validating Numerical Quadrature
cites work: The numerical evaluation of certain multivariate normal integrals
cites work: Probability Integrals of Multivariate Normal and Multivariate $t^1$
cites work: An Error Analysis for Numerical Differentiation
cites work: Computer Evaluation of the Multivariate Normal Integral
cites work: Q3207999
cites work: On the accuracy and cost of numerical integration in several variables∗
cites work: Automatic differentiation: techniques and applications
cites work: Q3707258
cites work: Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
description: scientific article; zbMATH DE number 787488