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Numerical Computation of Multivariate Normal Probabilities
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Numerical Computation of Multivariate Normal Probabilities
Numerical Computation of Multivariate Normal Probabilities
AG
Alan Genz
Alan Genz
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1 June 1992
journal article
Published by
JSTOR
in
Journal of Computational and Graphical Statistics
Vol. 1
(2)
,
141
https://doi.org/10.2307/1390838
Abstract
The numerical computation of a multivariate normal probability is often a difficult problem. This article describes a transformation that simplifies the problem...
Keywords
NUMERICAL COMPUTATION
COMPUTATION OF MULTIVARIATE
MULTIVARIATE NORMAL PROBABILITIES
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Open Access
Cited by 203 articles