Computation of the multivariate normal integral
- 1 December 1992
- journal article
- Published by Association for Computing Machinery (ACM) in ACM Transactions on Mathematical Software
- Vol. 18 (4) , 470-480
- https://doi.org/10.1145/138351.138375
Abstract
This paper presents a direct computation of the multivariate normal integral by the Gauss Quadrature method. An error control method is given. Results are presented for multivariate integrals consisting of up to twelve normal distributions. A computer program in FORTRAN is given.Keywords
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