Computation of High-Dimensional Multivariate Normal and Student-t Probabilities Based on Matrix Compression Schemes

Computation of High-Dimensional Multivariate Normal and Student-t Probabilities Based on Matrix Compression Schemes

The first half of the thesis focuses on the computation of high-dimensional multivariate normal (MVN) and multivariate Student-t (MVT) probabilities. Chapter 2 generalizes the bivariate conditioning method to a d-dimensional conditioning method and combines it with a hierarchical representation of t...

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Bibliographic Details
Main Author: Cao, Jian
Other Authors: Genton, Marc G.
Language:en
Published: 2020
Subjects:
multivariate normal probability
conditioning method
kronecker product
skew-normal distribution
probit gaussian random field
tlrmvnmvt R package
Online Access:Cao, J. (2020). Computation of High-Dimensional Multivariate Normal and Student-t Probabilities Based on Matrix Compression Schemes. KAUST Research Repository. https://doi.org/10.25781/KAUST-02606
http://hdl.handle.net/10754/662613

Internet

Cao, J. (2020). Computation of High-Dimensional Multivariate Normal and Student-t Probabilities Based on Matrix Compression Schemes. KAUST Research Repository. https://doi.org/10.25781/KAUST-02606
http://hdl.handle.net/10754/662613

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