You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
Numerical Computation of Multivariate Normal Probabilities
Journal of Computational and Graphical Statistics
Vol. 1, No. 2 (Jun., 1992), pp. 141-149
Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of America
Stable URL: http://www.jstor.org/stable/1390838
Page Count: 9
Preview not available
The numerical computation of a multivariate normal probability is often a difficult problem. This article describes a transformation that simplifies the problem and places it into a form that allows efficient calculation using standard numerical multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation with currently available software.
Journal of Computational and Graphical Statistics © 1992 American Statistical Association