论文信息 - Monte carlo computation of some multivariate normal probabilities

Monte carlo computation of some multivariate normal probabilities

The computation of orthant probabilities represents a difficutl numerical problem for even modest dimensions. Moran (1984) proposed a Monte Carlo estimator of these quantities. In this paper a more general class of estimators is developed and methods for obtaining effeciency gains over Moran's procedure and discussed.

M. Evans | T. Swartz

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