COMPUTATION OF THE MULTIVARIATE NORMAL INTEGRAL

被引：38

作者：

DREZNER, Z ^{[1
]}

机构：

[1] CALIF STATE UNIV FULLERTON,SCH BUSINESS ADM & ECON,DEPT MANAGEMENT SCI,FULLERTON,CA 92634

来源：

ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE | 1992年 / 18卷 / 04期

关键词：

ALGORITHMS; MULTIVARIATE NORMAL PROBABILITY;

D O I：

10.1145/138351.138375

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

This paper presents a direct computation of the multivariate normal integral by the Gauss Quadrature method. An error control method is given. Results are presented for multivariate integrals consisting of up to twelve normal distributions. A computer program in FORTRAN is given.

引用

页码：470 / 480

页数：11

共 9 条

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[6] GAUSSIAN QUADRATURES FOR INTEGRALS
STEEN, NM
BYRNE, GD
GELBARD, EM
[J]. MATHEMATICS OF COMPUTATION, 1969, 23 (107) : 661 - &
[7] SUICH R, IN PRESS ASYMPTOTIC
[8] [No title captured]
[9] [No title captured]

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