ALGORITHM-725 - COMPUTATION OF THE MULTIVARIATE NORMAL INTEGRAL (VOL 18, PG 470, 1992)

被引：3

作者：

DREZNER, Z

机构：

[1] Department of Management Science, School of Business Admimstration and Economics, California State University, Fullerton

来源：

ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE | 1993年 / 19卷 / 04期

关键词：

MULTIVARIATE NORMAL PROBABILITY;

D O I：

10.1145/168173.168428

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. © 1993, ACM. All rights reserved.

引用

页码：546 / 546

页数：1