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Original Articles

A general reduction method for n–variate normal orthant probability

Pages 3913-3921 | Received 01 Oct 1987, Published online: 27 Jun 2007

References

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  • Dutt , J.E. 1973 . A representation of multivariate normal probability integrals by integral transforms . Biometrika , 60 : 637 – 645 .
  • Gehrlein , W.V. 1979 . A representation for quadrivariate normal positive orthant probabilities . Commun. Statist. –Simul. Computa , B8 ( 4 ) : 349 – 358 .
  • Owen , D.B. 1985 . “ Orthant Probabilities ” . In Encyclopedia of statistical sciences Edited by: Kotz , S. and Johnson , N.L. Vol. 6 , 521 – 523 .
  • Plackett , R.L. 1954 . A reduction formula for normal multivariate integrals . Biometrika , 41 : 351 – 360 .
  • Steck , G.P. 1962 . Orthant probabilities for the equicorrelated multivariate normal distributions . Biometrika , 49 : 433 – 435 .

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