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An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions

Robert Bohrer and Mark J. Schervish
Technometrics
Vol. 23, No. 3 (Aug., 1981), pp. 297-300
DOI: 10.2307/1267794
Stable URL: http://www.jstor.org/stable/1267794
Page Count: 4
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An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
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Abstract

Explanation and examples are given to show how Milton's (1972) multivariate normal algorithm can give errors exceeding its supposed error bound. Theory is worked out to give a true bound on the error in calculating probabilities of rectangular regions. The resulting algorithms are tested for time and accuracy, and they are made available to potential users.

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