Numerical evaluation of singular multivariate normal distributions
- 1 December 2000
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 68 (1) , 1-21
- https://doi.org/10.1080/00949650008812053
Abstract
We present an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. The new method is applied to the construction of simultaneous confidence intervals and simultaneous all pairwise confidence intervals for multinomial proportions when the sample size is sufficiently large.Keywords
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