Computation Of Multivariate Normal And T Probabilities
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Computation Of Multivariate Normal And T Probabilities
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Author : Alan Genz
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-07-09
Computation Of Multivariate Normal And T Probabilities written by Alan Genz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-09 with Computers categories.
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.
Computation Of Multivariate Normal And T Probabilities
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Author : P. Diggle P. Bickel (S. Fienberg, U. Gather)
language : en
Publisher:
Release Date : 2009
Computation Of Multivariate Normal And T Probabilities written by P. Diggle P. Bickel (S. Fienberg, U. Gather) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematical statistics categories.
Monte Carlo Computation Of Some Multivariate Normal Probabilities
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Author : STANFORD UNIV CA DEPT OF STATISTICS.
language : en
Publisher:
Release Date : 1987
Monte Carlo Computation Of Some Multivariate Normal Probabilities written by STANFORD UNIV CA DEPT OF STATISTICS. and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.
The computation of orthant probabilities represents a difficult numerical problem for even modest dimensions. Moran (1984) proposed a Monte Carlo estimator of these quantities. In this paper a more general class of estimators is developed and methods for obtaining efficiency gains over Moran's procedure are discussed. Further, the authors discuss the Monte Carlo evaluation of the multivariate normal distribution function.
Computation Of Multivariate Normal Probabilities Using Bivariate Conditioning With Simulation
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Author : Giang B. Trinh
language : en
Publisher:
Release Date : 2013
Computation Of Multivariate Normal Probabilities Using Bivariate Conditioning With Simulation written by Giang B. Trinh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
We introduce algorithms for block LDLt decompositions of positive definite covariance matrices. These are extensions of the LDLt decomposition which requires D to be a diagonal matrix. We make use of these algorithms to represent the mutivariate normal (MVN) probability as a bivariate-iterated, trivariate-iterated and multivariate-iterated integrals. From there, we introduce a new method of approximating and simulating MVN probabilities using bivariate conditioning with simulation. Basic algorithms for bivariate, trivariate, multivariate conditioning are derived. A new approximate formula for multivariate normal probabilities which uses a product of bivariate normal probabilities is derived and considered with different variance reduction techniques. The new method is compared with approximation methods based on products of univariate normal probabilities. The new method uses conditioning with a sequence of truncated bivariate probabilities. Simulation methods which use Monte Carlo, and quasi-Monte Carlo point sets are developed.
Multivariate T Distributions And Their Applications
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Author : Samuel Kotz
language : en
Publisher: Cambridge University Press
Release Date : 2004-02-16
Multivariate T Distributions And Their Applications written by Samuel Kotz and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-16 with Mathematics categories.
Almost all the results available in the literature on multivariate t-distributions published in the last 50 years are now collected together in this comprehensive reference. Because these distributions are becoming more prominent in many applications, this book is a must for any serious researcher or consultant working in multivariate analysis and statistical distributions. Much of this material has never before appeared in book form. The first part of the book emphasizes theoretical results of a probabilistic nature. In the second part of the book, these are supplemented by a variety of statistical aspects. Various generalizations and applications are dealt with in the final chapters. The material on estimation and regression models is of special value for practitioners in statistics and economics. A comprehensive bibliography of over 350 references is included.
Probability Integrals Of Multivariate Normal And Multivariate T
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Author : S. S. Gupta
language : en
Publisher:
Release Date : 1962
Probability Integrals Of Multivariate Normal And Multivariate T written by S. S. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1962 with Multivariate analysis categories.
This paper gives a survey of the work on multivariate probability integral and related functions starting with the bivariate case and includes the author's recent work on the probability integrals of the multivariate normal and a multivariate analogue of Student's t. An annotated bibliography on evaluation of multivariate normal and t probability integrals (189 entries) is included. (Author).
Tables For Computing Bivariate Normal Probabilities
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Author : Donald Bruce Owen
language : en
Publisher:
Release Date : 1958
Tables For Computing Bivariate Normal Probabilities written by Donald Bruce Owen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1958 with Probabilities categories.
Computations Of Bivariate And Multivariate Normal Probabilities
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Author : Rajendra K. Gupta
language : en
Publisher:
Release Date : 1976
Computations Of Bivariate And Multivariate Normal Probabilities written by Rajendra K. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Analysis of variance categories.
Monte Carlo And Quasi Monte Carlo Methods
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Author : Ronald Cools
language : en
Publisher: Springer
Release Date : 2016-06-13
Monte Carlo And Quasi Monte Carlo Methods written by Ronald Cools and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-13 with Mathematics categories.
This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Advances In Reliability And Optimization Of Structural Systems
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Author : Dan M. Frangopol
language : en
Publisher: CRC Press
Release Date : 2005-12-22
Advances In Reliability And Optimization Of Structural Systems written by Dan M. Frangopol and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-22 with Technology & Engineering categories.
This volume contains thirty-one papers presented at the Twelfth Scientific Meeting of the IFIP Working Group on Reliability and Optimization of Structural Systems which took place in Aalborg, Denmark, from May 22-25, 2005. The Working Group Conference was organized by the IFIP (International Federation for Information Processing) Working Group 7.5 of the Technical Committee on Modelling and Optimization. The purpose of the Working Group is to promote modern structural system reliability and optimization theory and its applications, to stimulate research, development and application of structural system reliability and optimization theory, to assist and advance research and development in these fields, to further the dissemination and exchange of information on reliability and optimization of structural systems, and to encourage education in structural system reliability and optimization theory.
