Numerical Computation of Multivariate Normal Probabilities
- 1 June 1992
- journal article
- research article
- Published by Taylor & Francis Ltd in Journal of Computational and Graphical Statistics
- Vol. 1 (2), 141-149
- https://doi.org/10.1080/10618600.1992.10477010
Abstract
The numerical computation of a multivariate normal probability is often a difficult problem. This article describes a transformation that simplifies the problem and places it into a form that allows efficient calculation using standard numerical multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation with currently available software.Keywords
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