论文信息 - Computer Evaluation of the Multivariate Normal Integral

Computer Evaluation of the Multivariate Normal Integral

A method is described for the evaluation by computer of the multivariate normal integral, for arbitrary mean vector, covariance matrix, and region of integration. Evaluation is by means of a modification of a multidimensional adaptive Simpson's quadrature with error control, applied to the iterated integral. Examples are given for integrals of up to six dimensions.

Roy C. Milton | R. Milton

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