an approximation for multivariate normal probabilities of rectangular regions
作者:
Thomas Royen,
期刊:
Statistics
(Taylor Available online 1987)
卷期:
Volume 18,
issue 3
页码: 389-400
ISSN:0233-1888
年代: 1987
DOI:10.1080/02331888708802036
出版商: Akademie-Verlag
关键词: Multivariate normal probability;approximation to normal probabilities;tetrachoric expansions
数据来源: Taylor
摘要:
The multivariate normal probability of a given rectangular region as a function of correlations is approximated by TAYLOR polynomials. Because of the poor convergence properties of the classical tetrachoric expansion the center of this series is shifted to a correlation matrix Romnear the given matrix R, where Ro has a simple m-factirial structure. For computiations only m≦2 is used. For the convergence of this expansion a sufficient condition is proved. Especially for the distribution of the maximum modulus satisfying results are obtained for larger probabilities using only TALYLOR polynomials of 2nd degree with m=1
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