Monte Carlo Computation of Some Multivariate Normal Probabilities.

Abstract

The computation of orthant probabilities represents a difficult numerical problem for even modest dimensions. Moran (1984) proposed a Monte Carlo estimator of these quantities. In this paper a more general class of estimators is developed and methods for obtaining efficiency gains over Moran's procedure are discussed. Further, the authors discuss the Monte Carlo evaluation of the multivariate normal distribution function.

Document Details

Document Type
Technical Report
Publication Date
Jan 14, 1987
Accession Number
ADA176766

Entities

People

  • Michael J. Evans
  • T. Swartz

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Computational Complexity
  • Computations
  • Distribution Functions
  • Efficiency
  • Estimators
  • Mathematical Analysis
  • Mathematics
  • Normal Distribution
  • Probability
  • Test And Evaluation

Fields of Study

  • Mathematics

Readers

  • Statistical inference.