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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| Language: | en |
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2020
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| 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 |