论文信息 - A method for approximating multivariate normal orthant probabilities

A method for approximating multivariate normal orthant probabilities

A simple method for approximating multivariate normal orthant probabilities is presented. The method is based on decomposing the orthant probability into a product of conditional probabilities and approximating the terms in the product using a linear model. Some results are given showing that the method works well.

Andrew R. Solow | A. Solow

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