论文信息 - THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS

THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS

Summary The calculation of multivariate normal orthant probabilities is practically impossible when the number of variates is greater than five or six, except in very special cases. A transformation of the integral is obtained which enables quite accurate Monte Carlo estimates to be obtained for a fairly high number of dimensions, particularly if control variates are used.

P. A. P. Moran | P. Moran

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