Approximating Multivariate Normal Orthant Probabilities

Abstract

The probability integral of the multivariate normal distribution has received considerable attention since Sheppard (1900) and Pearson (1901) published their seminal work on the bivariate normal distribution. The purpose of this report is to present a fast and general approximation for rectangular regions of the multivariate normal distribution function based of Clark's approximation to the moments of the maximum of n jointly normal random variables. The performance of this approximation compared to special cases in which the exact results are known and error-bounded reduction formulae show the accuracy of the approximation to be adequate for many practical applications where multivariate normal probabilities are required. (KR)

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1990
Accession Number
ADA229129

Entities

People

  • Donald Hedeker
  • R. D. Bock
  • Robert D. Gibbons

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Accuracy
  • Algorithms
  • Computers
  • Data Science
  • Distribution Functions
  • Education
  • Factor Analysis
  • Illinois
  • Information Science
  • Maryland
  • New York
  • Normal Density Functions
  • Normal Distribution
  • Probability
  • Random Variables
  • Test And Evaluation
  • United States

Fields of Study

  • Mathematics

Readers

  • Statistical inference.