Computation of multivariate normal and t probabilities
By: Alan Genz, Frank Bretz
Contributors: Bretz, Frank; SpringerLink (Online service)
Series: Lecture notes in statistics -- 195
Publisher: Springer
Published: 2009
Place of publication: Berlin
Language: eng
Number of pages: 124
ISBN-13: 9783642016899; 9783642016882
Subjects: Probabilities; Multivariate analysis
Description: Multivariate normal and t probabilities are needed for statistical inference in many applications. Modern statistical computation packages provide functions for the computation of these probabilities for problems with one or two variables. This book describes recently developed methods for accurate and efficient computation of the required probability values for problems with two or more variables. The book discusses methods for specialized problems as well as methods for general problems. The book includes examples that illustrate the probability computations for a variety of applications.
Notes: Includes bibliographical references (p. [105]-122) and index.