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Approximations to the multivariate normal integral

 

作者: Zvi Drezner,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1990）
卷期: Volume 19, issue 2  

页码: 527-534

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812873

 

出版商: Marcel Dekker, Inc.

 

关键词: Multivariate Normal Probabilities;Approximation

 

数据来源: Taylor

 

摘要:

We propose a simple and efficient way to approximate multivariate normal probabilities using univariate and bivariate probabilities. The approximation is computationally tested for the trivariate and quadrivariate normal probabilities. A few problems of higher dimensions were also tested.

 

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