A Fortran 90 Program for Evaluation of Multivariate Normal and Multivariate t Integrals Over Convex Regions
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 kno...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
1999-02-01
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| Series: | Journal of Statistical Software |
| Online Access: | http://www.jstatsoft.org/index.php/jss/article/view/1700 |