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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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