Using mathematical programming to compute singular multivariate normal probabilities

Journal of Statistical Computation and Simulation

Volumn 67, Issue 3, 2000, Pages 219-253

  Bansal, Vikrant ^a   Perkins, John D ^a   Pistikopoulos, Efstratios N ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Linear programming; Parametric programming; Principal components; Singular multivariate normal distribution

Indexed keywords

EID: 0034349459     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650008812044     Document Type: Article

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