Paper Info
Title
The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution
Abstract
In this paper it is shown how a general two-sided orthant probability for a quadrivariate normal distribution can be evaluated by a one-dimensional numerical integral calculation. The quadrivariate normal distribution can have any covariance matrix and any mean vector. This affords a practical and efficient method for the calculation of these probabilities which is superior to simulation methods. The implementation of the algorithm is discussed, and some examples of its performance are provided.
Year
DOI
Venue
2012
10.1007/s00180-011-0267-z
Computational Statistics
Keywords
DocType
Volume
quadrivariate normal distribution,covariance matrix,mean vector,general two-sided orthant probability,efficient method,multivariate normal distribution · quadrivariate normal distribution · numerical integration · computational intensity · orthant probability,one-dimensional numerical integral calculation
Journal
27
Issue
ISSN
Citations 
3
1613-9658
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
A. J. Hayter133.29
Y. Lin200.34