Numerical integration rules for multivariate inversions
- 1 May 1991
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 39 (1) , 37-46
- https://doi.org/10.1080/00949659108811337
Abstract
Working from a known characteristic function, integration rules for the computation of the multivariate distribution function are derived. Procedures for the automatic selection of step sizes are one particular strength of the proposed method. Examples of the use of the procedure are given.Keywords
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