| Authors: | Paul N. Somerville |
| Title: | [download] (3042)A Fortran 90 Program for Evaluation of Multivariate Normal and Multivariate t Integrals Over Convex Regions |
| Reference: | Vol. 3, Issue 4, Feb 1999 Submitted 1998-01-01, Accepted 1999-02-17 |
| Type: | Article |
| Abstract: | Let X' = (X1,X2, ... ,Xk) have the multivariate normal distribution f(X) = MVN(μ, ∑σ2) where ∑ is a known positive definite matrix, and σ2 is a constant. There are many problems in statistics which require the evaluation of f(x) over some convex region A. That is P = ∫A f(X) dX. If σ2 is known, then without loss of generality, set μ = 0, σ =1 and let ∑ be the correlation matrix. For the case where the region A is rectangular, the problem has been addressed by many authors. They include Gupta (1963), Milton (1972), Schervish (1984), Deak (1986), Wang and Kennedy (1990,1992), Olson and Weissfeld (1991), Drezner (1992) and Genz (1992,1993). However, regions of integration for many statistical applications, for example multiple comparisons, are not rectangular. |
| Paper: | [download] (3042)A Fortran 90 Program for Evaluation of Multivariate Normal and Multivariate t Integrals Over Convex Regions (application/pdf, 22.6 KB) |
| Supplements: | [download] (589)mvi3.for: Fortran 90 program (application/octet-stream, 34.7 KB) |
| [download] (507)qcalc.in: used for input (text/plain, 1.5 KB) |
|
| [download] (490)qcalc.out: used for output (text/plain, 1.2 KB) |
|
| Resources: | BibTeX | OAI |
