CrossRef Open Access 1984 13 sitasi

THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS

P. A. P. Moran

Abstrak

SummaryThe calculation of multivariate normal orthant probabilities is practically impossible when the number of variates is greater than five or six, except in very special cases. A transformation of the integral is obtained which enables quite accurate Monte Carlo estimates to be obtained for a fairly high number of dimensions, particularly if control variates are used.

Penulis (1)

P. A. P. Moran

Format Sitasi

APA MLA BibTeX

Moran, P.A.P. (1984). THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS. https://doi.org/10.1111/j.1467-842x.1984.tb01266.x

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Informasi Jurnal

Tahun Terbit: 1984
Bahasa: en
Total Sitasi: 13×
Sumber Database: CrossRef
DOI: 10.1111/j.1467-842x.1984.tb01266.x
Akses: Open Access ✓