Computing probabilites of rectangles in case of multinormal distribution
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/00949658608810951
Reference17 articles.
1. Deák, I. Computation of multiple normal probabilities. Symp. on Stock Programming, OberwolfachSpringer Lecture Notes in Economics and Mathematical Systems. Edited by: Prekopa, A. and Kail, P. pp.107–120. Berlin, New York: Springer-Verlag.
2. Three digit accurate multiple normal probabilities
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