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. | ||||||
Page views:: 10404. Submitted: 1999-05-28. Published: 2001-06-27. |
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Paper: |
Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions
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DOI: |
10.18637/jss.v006.i08
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