Journal of Statistical Software

Authors:	Paul N. Somerville
Title:	[download] (4068)Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions
Reference:	Vol. 6, Issue 8, Jun 2001 Submitted 1999-05-28, Accepted 2001-06-27
Type:	Article
Abstract:	An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and x² distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.
Paper:	[download] (4068)Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions (application/pdf, 28.4 KB)
Supplements:	[download] (273)Elip.out: used for the program output (text/plain, 1.7 KB)
	[download] (263)elip.in: instructions for the program (text/plain, 259 Bytes)
	[download] (278)mvelps.for: Fortran 90 program to evaluate multivariate normal and multivariate-t integrals over a general ellipsoid (application/zip, 16.4 KB)
Resources:	BibTeX \| OAI