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Original Articles

Approximations to the multivariate normal integral

Pages 527-534 | Received 01 Sep 1989, Published online: 24 Oct 2007
 

Abstract

We propose a simple and efficient way to approximate multivariate normal probabilities using univariate and bivariate probabilities. The approximation is computationally tested for the trivariate and quadrivariate normal probabilities. A few problems of higher dimensions were also tested.

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