Computing probabilites of rectangles in case of multinormal distribution
- 1 October 1986
- journal article
- research article
- Published by Informa UK Limited in Journal of Statistical Computation and Simulation
- Vol. 26 (1), 101-114
- https://doi.org/10.1080/00949658608810951
Abstract
In several stochastic programming models and statistical problems the computation of probabilities of n-dimensional rectangles is required in case of n-dimensional normal distribution. A recent simulation technique presented by the author for computing values of the distribution function can be modified to yield appropriate procedure for computing probabilities of rectangles. Some numerical work is provided to illustrate the use of the new algorithm.Keywords
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