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

Computation of the trivariate normal integral

Published:1994 Issue:205 Volume:62 Page:289-294
ISSN:0025-5718
Container-title:Mathematics of Computation
language:en
Short-container-title:Math. Comp.

Author:

Drezner Zvi

Abstract

We propose a simple and efficient way to calculate trivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the trivariate probability with respect to a correlation coefficient.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,Computational Mathematics,Algebra and Number Theory

Link

http://www.ams.org/mcom/1994-62-205/S0025-5718-1994-1185242-8/S0025-5718-1994-1185242-8.pdf

Reference10 articles.

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2. A note on the evaluation of the multivariate normal integral;David, F. N.;Biometrika,1953

3. Computation of the bivariate normal integral;Drezner, Z.;Math. Comp.,1978

4. \bysame, Computation of the multivariate normal integral, ACM Trans. Math. Software 18 (1992), 470-480.

5. On the computation of the bivariate normal integral;Drezner, Zvi;J. Statist. Comput. Simulation,1990

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