A Fortran 90 program for evaluation of multivariate normal and multivariate t integrals over convex regions

Journal of Statistical Software

Volumn 3, Issue , 1998, Pages 1-10

  Somerville, Paul N ^a  

^a UNIVERSITY OF CENTRAL FLORIDA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041000599     PISSN: 15487660     EISSN: None     Source Type: Journal    
DOI: 10.18637/jss.v003.i04     Document Type: Article

References (15)

1. Deak, I. (1986). Computing probabilities of rectangles in case of multinormal distribution. J. Statist.Comp. and Simul. 26, 101-114.
2. Drezner, Z. (1992). Computation of the multivariate normal integral. ACM Transactions on Mathematical Software 18, 470-480.
3. Dunnett, C.W. (1989). Multivariate normal probability integrals with product moment correlation structure. Algorithm AS 251. Applied Statistics 38, 564-579. Correction note. Applied Statistics 42, 709.
4. Genz, A. (1992). Numerical computation of multivariate normal probabilities. J. Graph. and Comp. Statist. 1, 141-149.
5. th Symposium on the Interface, San Diego, April 1993.
6. Gupta, S.S. (1963). Probability integrals of multivariate normal and multivariate t. Ann. Math. Statist., 34, 792-828.
7. Marsaglia, G. (1998). Personal communication.
8. Milton, R.C. (1972). Computer evaluation of the multivariate normal integral Technometrics, 14, 881-889.
9. Olson, J.M. and Weissfeld, L.A. (1991). Approximation of certain multivariate integrals. Statistics and Probability Letters, 11, 309-317.
10. Press, William H. et al (1986, 1992) Numerical methods in Fortran, the art of scientific computing, Cambridge University Press.
11. Schervish, M. (1984). Multivariate normal probabilities with error bound. Applied Statistics, 33, 81-87.
12. Somerville, P. N. and Wang, M.C. (1994). Computation of multivariate normal probabilities over convex regions. Proceedings of the 26th Symposium on the Interface, Computing Science and Statistics, June 1994, 229-231.
13. Somerville, Paul N. (1997). Multiple testing and simultaneous confidence intervals: calculation of constants. Computational Statistics and Data Analysis 25, 217-223.
14. Somerville, Paul N. (1998) Numerical computation of multivariate normal and multivariate-t probabilities over convex regions. Journal of Computational and Graphical StatisticsI, Vol.7, No. 4, 529-544.
15. Wang. M.C. and Kennedy, W.J. (1992). A numerical method for accurately approximating multivariate normal probabilities. Comp. Statist. and Data Anal. 13, 197-210