Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Paul N. Somerville
Title: Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions
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.

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Paper: Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions     Download PDF (Downloads: 10281)
Supplements:
Elip.out.txt: Elip.out: used for the program output Download (Downloads: 2125; 1KB)
elip.in.txt: elip.in: instructions for the program Download (Downloads: 2138; 259B)
mvelps.for.zip: mvelps.for: Fortran 90 program to evaluate multivariate normal and multivariate-t integrals over a general ellipsoid Download (Downloads: 2032; 16KB)
DOI: 10.18637/jss.v006.i08

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.