论文信息 - Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results

Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results

An extensive literature in econometrics and in numerical analysis has considered the problem of evaluating the multiple integral P({bold B};mu,Omega) = integral_{a}^{b} n(v - mu, Omega)dv = E_{V}{bold 1}(V in {bold B}), where V is a m-dimensional normal vector with mean mu, covariance matrix , and density n(v - mu Omega)and 1(V in {bold B}) is an indicator for the event B = {V | a

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