Numerical Evaluation of Singular Multivariate Normal Distribution
Publication Type
Journal Article
Publication Date
2000
Abstract
Presents an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. Singular distribution; Numerical integration; Statistical computation.
Discipline
Economics
Research Areas
Econometrics
Publication
Journal of Statistical Computation and Simulation
Volume
68
Issue
1
First Page
1
Last Page
21
ISSN
0094-9655
Identifier
10.1080/00949650008812053
Publisher
Taylor and Francis
Citation
KWONG, Koon Shing and GENZ, Alan.
Numerical Evaluation of Singular Multivariate Normal Distribution. (2000). Journal of Statistical Computation and Simulation. 68, (1), 1-21.
Available at: https://ink.library.smu.edu.sg/soe_research/139
Additional URL
https://doi.org/10.1080/00949650008812053