41
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Approximations to the multivariate normal integral

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

References

  • Abramowitz , M. and Stegun , I.A. 1968 . “ Handbook of Mathematical Functions ” . In National Bureau of Standards Seventh Printing
  • David , F.N. 1953 . A Note on the Evaluation of the Multivariate Normal Integral . Biometrika , 40 : 458 – 459 .
  • David , F.N. and Mellows , C.L. 1961 . The Variance in Spearman's Rho in Normal Samples . Biometrika , 48 : 19 – 28 .
  • Drezner , Z. Computation of the Multivariate Normal Integral Submitted for publication
  • Drezner , Z. and Wesolowsky , G.O. On The Computation of the Bivariate Normal Integral . Journal of Statistical Computation and Simulation , To appear in the
  • Johnson , N.L. and Kotz , S. 1972 . Distributions in Statistics: Continuous Multivariate Distributions , New York : John Wiley & Sons, Inc .
  • Owen , D.B. 1985 . Orthant Probabilities . Encyclopedia of Statistical Sciences , 6 : 521 – 523 .
  • Plackett , R.L. 1954 . A Reduction Formula for Normal Multivariate Integrals . Biometrika , 41 : 351 – 360 .
  • Schervish , M.J. 1984 . Multivariate Normal Probabilities with Error Bound . Applied Statistics , 33 : 81 – 87 .
  • Schervish , M.J. 1985 . Correction to Algorithm AS 195: Multivariate Normal Probabilities with Error Bound . Applied Statistics , 34 : 103 – 104 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.