Abstract
In this chapter we consider a variety of applications, which require efficient numerical MVN and/or MVT integration methods. In Section 6.1 we discuss the numerical computation of high-dimensional integrals for multiple comparison problems. In Section 6.2 we discuss the application of MVN and MVT integration methods for problems in computational finance and Bayesian statistical analysis.
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© 2009 Springer-Verlag Berlin Heidelberg
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Genz, A., Bretz, F. (2009). Applications. In: Computation of Multivariate Normal and t Probabilities. Lecture Notes in Statistics, vol 195. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-01689-9_6
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DOI: https://doi.org/10.1007/978-3-642-01689-9_6
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-01688-2
Online ISBN: 978-3-642-01689-9
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