Computation of the multivariate normal integral-Reference-Cited by-同舟云学术

Computation of the multivariate normal integral

Published:1992-12 Issue:4 Volume:18 Page:470-480
ISSN:0098-3500
Container-title:ACM Transactions on Mathematical Software
language:en
Short-container-title:ACM Trans. Math. Softw.

Author:

Drezner Zvi¹

Affiliation:

1. California State Univ., Fullerton

Abstract

This paper presents a direct computation of the multivariate normal integral by the Gauss Quadrature method. An error control method is given. Results are presented for multivariate integrals consisting of up to twelve normal distributions. A computer program in FORTRAN is given.

Publisher

Association for Computing Machinery (ACM)

Subject

Applied Mathematics,Software

Link

https://dl.acm.org/doi/pdf/10.1145/138351.138375

Reference9 articles.

1. LINPACK Users' Guide

2. DREZNER Z. Computation of the bivariate normal integral. Math. Cornput. 32 {1978) 277 279. DREZNER Z. Computation of the bivariate normal integral. Math. Cornput. 32 {1978) 277 279.

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