Numerical computation of multivariate normal and multivariate -t probabilities over ellipsoidal regions

Journal of Statistical Software

Volumn 6, Issue , 2001, Pages

  Somerville, Paul N ^a  

^a UNIVERSITY OF CENTRAL FLORIDA   (United States)

Author keywords

Ellipsoidal regions; Multivariate normal; Multivariate t; Noncentral F; Noncentral t

Indexed keywords

EID: 4544381056     PISSN: 15487660     EISSN: None     Source Type: Journal    
DOI: 10.18637/jss.v006.i08     Document Type: Article

References (7)

1. Anderson, T. W. (1984) "An Introduction to Multivariate Statistical Analysis", New York, Wiley.
2. Buckley, M. J. and Eagleson, G. K. (1988). "An Approximation to the Distribution of Quadratic Forms in Random Normal Variables", Australian Journal of Statistics 30A, 150-159.
3. Farebrother, R. W. (1990) "The Distribution of a Quadratic Form in Normal Variables", Applied Science 39, 294-309.
4. Krishnamoorthy, K. and Mathew, Thomas (1999) "Comparison of Approximation Methods for Computing Tolerance Factors for a Multivariate Normal Population", Technometrics, Vol. 41, No. 3, 234-249.
5. Satterthwaite, F.E. (1946) "An Approximate distribution of the Estimates of Variance Components", Biometrika, 33, 110-114.
6. Krishnamoorthy, K. and Mathew, Thomas (1999) "Comparison of Approximation Methods for Computing Tolerance Factors for a Multivariate Normal Population", Technometrics, Vol. 41, No. 3, 234-249.
7. Somerville, P. N. (1998) "Numerical Computation of Multivariate Normal and Multivariate-t Probabilities Over Convex Regions" Journal of Computational and Graphical Statistics, Vol. 7, No 4, 529-544.