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Multivariate Normal Probabilities: Implementing an Old Idea of Plackett's.
- Source :
-
Journal of Computational & Graphical Statistics . Sep2003, Vol. 12 Issue 3, p731-752. 22p. - Publication Year :
- 2003
-
Abstract
- This article describes a reduction formula for the computation of multivariate normal probabilities first developed by Plackett. The method is recursive and, despite very promising results, seems not to have been implemented before. Extensive numerical results are given to compare the effectiveness of the approach to other methods from the literature. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 10618600
- Volume :
- 12
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Journal of Computational & Graphical Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 10893176
- Full Text :
- https://doi.org/10.1198/1061860032283