Numerical Evaluation of Singular Multivariate Normal Distribution
Presents an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. Singular distribution; Numerical integration; Statistical computation.
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2000
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/139 |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | Presents an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. Singular distribution; Numerical integration; Statistical computation. |
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