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Journal of Computational and Graphical Statistics Volume 27, 2018 - Issue 2
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Algorithms, MCMC, Estimators

Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities

Marc G. GentonCEMSE Division, Extreme Computing Research Center, King Abdullah University of Science and Technology, Thuwal, Saudi ArabiaCorrespondence[email protected]
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,
David E. KeyesCEMSE Division, Extreme Computing Research Center, King Abdullah University of Science and Technology, Thuwal, Saudi ArabiaView further author information
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George TurkiyyahDepartment of Computer Science, American University of Beirut, Beirut, LebanonView further author information
Pages 268-277 | Received 01 Aug 2016, Published online: 17 May 2018

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Niccolò Anceschi, Augusto Fasano, Daniele Durante & Giacomo Zanella. (2023) Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results. Journal of the American Statistical Association 118:542, pages 1451-1469.
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Jian Cao, Daniele Durante & Marc G. Genton. (2022) Scalable Computation of Predictive Probabilities in Probit Models with Gaussian Process Priors. Journal of Computational and Graphical Statistics 31:3, pages 709-720.
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Mauricio Nascimento & Benjamin A. Shaby. (2022) A Vecchia approximation for high-dimensional Gaussian cumulative distribution functions arising from spatial data. Journal of Statistical Computation and Simulation 92:9, pages 1977-1994.
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Amir Ahmadi-Javid & Mohsen Ebadi. (2021) A two-step method for monitoring normally distributed multi-stream processes in high dimensions. Quality Engineering 33:1, pages 143-155.
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Jian Cao, Marc G. Genton, David E. Keyes & George M. Turkiyyah. (2021) Sum of Kronecker products representation and its Cholesky factorization for spatial covariance matrices from large grids. Computational Statistics & Data Analysis 157, pages 107165.
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Jian Cao, Marc G. Genton, David E. Keyes & George M. Turkiyyah. (2021) Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities. Statistics and Computing 31:1.
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Daniele Durante. (2019) Conjugate Bayes for probit regression via unified skew-normal distributions. Biometrika 106:4, pages 765-779.
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Alexander Litvinenko, Ying Sun, Marc G. Genton & David E. Keyes. (2019) Likelihood approximation with hierarchical matrices for large spatial datasets. Computational Statistics & Data Analysis 137, pages 115-132.
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Jian Cao, Marc G. Genton, David E. Keyes & George M. Turkiyyah. (2018) Hierarchical-block conditioning approximations for high-dimensional multivariate normal probabilities. Statistics and Computing 29:3, pages 585-598.
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Raphaël Huser, Clément Dombry, Mathieu Ribatet & Marc G. Genton. (2019) Full likelihood inference for max‐stable data. Stat 8:1.
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