A method for approximating multivariate normal orthant probabilities
- 1 December 1990
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 37 (3-4) , 225-229
- https://doi.org/10.1080/00949659008811306
Abstract
A simple method for approximating multivariate normal orthant probabilities is presented. The method is based on decomposing the orthant probability into a product of conditional probabilities and approximating the terms in the product using a linear model. Some results are given showing that the method works well.Keywords
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