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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Institutional Knowledge at Singapore Management University
2000
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/139 |
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sg-smu-ink.soe_research-11382018-01-08T05:11:51Z Numerical Evaluation of Singular Multivariate Normal Distribution KWONG, Koon Shing GENZ, Alan Presents an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. Singular distribution; Numerical integration; Statistical computation. 2000-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/139 info:doi/10.1080/00949650008812053 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
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Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Economics |
| spellingShingle |
Economics KWONG, Koon Shing GENZ, Alan Numerical Evaluation of Singular Multivariate Normal Distribution |
| description |
Presents an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. Singular distribution; Numerical integration; Statistical computation. |
| format |
text |
| author |
KWONG, Koon Shing GENZ, Alan |
| author_facet |
KWONG, Koon Shing GENZ, Alan |
| author_sort |
KWONG, Koon Shing |
| title |
Numerical Evaluation of Singular Multivariate Normal Distribution |
| title_short |
Numerical Evaluation of Singular Multivariate Normal Distribution |
| title_full |
Numerical Evaluation of Singular Multivariate Normal Distribution |
| title_fullStr |
Numerical Evaluation of Singular Multivariate Normal Distribution |
| title_full_unstemmed |
Numerical Evaluation of Singular Multivariate Normal Distribution |
| title_sort |
numerical evaluation of singular multivariate normal distribution |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2000 |
| url |
https://ink.library.smu.edu.sg/soe_research/139 |
| _version_ |
1770569031822082048 |