COMPUTATION OF THE TRIVARIATE NORMAL INTEGRAL

被引：39

作者：

DREZNER, Z

机构：

来源：

MATHEMATICS OF COMPUTATION | 1994年 / 62卷 / 205期

关键词：

TRIVARIATE NORMAL; MULTIVARIATE NORMAL; COMPUTATION;

D O I：

10.2307/2153409

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We propose a simple and efficient way to calculate trivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the trivariate probability with respect to a correlation coefficient.

引用

页码：289 / 294

页数：6

共 10 条

[1] Abramowitz M., 1968, HDB MATH FUNCTIONS
[2] [Anonymous], 1990, J STAT COMPUT SIM
[3] DAVID FN, 1953, BIOMETRIKA, V40, P458
[4] COMPUTATION OF THE MULTIVARIATE NORMAL INTEGRAL
DREZNER, Z
[J]. ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE, 1992, 18 (04): : 470 - 480
[5] DREZNER Z, 1978, MATH COMPUT, V32, P277, DOI 10.1090/S0025-5718-1978-0461849-9
[6] JOHNSON NL, 1972, DISTRIBUTIONS STATIS
[7] Owen D.B., 1985, ENCY STAT SCI, V6, P521
[8] A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
PLACKETT, RL
[J]. BIOMETRIKA, 1954, 41 (3-4) : 351 - 360
[9] [No title captured]
[10] [No title captured]

← 1 →