ON THE APPLICATION OF THE METHOD OF DAS IN EVALUATING A MULTIVARIATE NORMAL INTEGRAL.

Abstract

Das (1956) presented a method of evaluating Prob (x1 > a1' x2 > a2' ... xn > an) for a multivariate normal distribution which reduced the dimension of integration by the use of the univariate cummulative normal. This note investigates properties of the variance-covariance matrix that indicate how small this dimension of integration might be and presents a method of determining the coefficients for the expression of Das. (Author)

Document Details

Document Type
Technical Report
Publication Date
May 28, 1970
Accession Number
AD0708671

Entities

People

  • John T. Webster

Organizations

  • Southern Methodist University

Tags

DTIC Thesaurus Topics

  • Coefficients
  • Computing-Related Activities
  • Covariance
  • Data Science
  • Information Science
  • Integrals
  • Interdisciplinary Science
  • Mathematics
  • Normal Distribution
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Analytical Mechanics
  • Statistical inference.