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Computation of Multivariate Normal and t Probabilities

  • Authors
  • Alan¬†Genz
  • Frank¬†Bretz

Part of the Lecture Notes in Statistics book series (LNS, volume 195)

Table of contents

  1. Front Matter
    Pages 1-7
  2. Alan Genz, Frank Bretz
    Pages 1-6
  3. Alan Genz, Frank Bretz
    Pages 7-20
  4. Alan Genz, Frank Bretz
    Pages 21-27
  5. Alan Genz, Frank Bretz
    Pages 29-54
  6. Alan Genz, Frank Bretz
    Pages 55-69
  7. Alan Genz, Frank Bretz
    Pages 71-89
  8. Back Matter
    Pages 1-35

About this book

Introduction

Multivariate normal and t probabilities are needed for statistical inference in many applications. Modern statistical computation packages provide functions for the computation of these probabilities for problems with one or two variables. This book describes recently developed methods for accurate and efficient computation of the required probability values for problems with two or more variables. The book discusses methods for specialized problems as well as methods for general problems. The book includes examples that illustrate the probability computations for a variety of applications.

Keywords

MATLAB Multivariate Distribution Multivariate Integration Multivariate Probabiltity Computation Multivariate t Distribution probability

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-01689-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-01688-2
  • Online ISBN 978-3-642-01689-9
  • Series Print ISSN 0930-0325
  • Buy this book on publisher's site
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