| Authors: | Paul N. Somerville |
| Title: | [download] (5782)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] (5782)Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions (application/pdf, 28.4 KB) |
| Supplements: | [download] (953)Elip.out: used for the program output (text/plain, 1.7 KB) |
| [download] (957)elip.in: instructions for the program (text/plain, 259 Bytes) |
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| [download] (1038)mvelps.for: Fortran 90 program to evaluate multivariate normal and multivariate-t integrals over a general ellipsoid (application/zip, 16.4 KB) |
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| Resources: | BibTeX | OAI |
