Simulation of Multivariate Normal Orthant Probabilities: Theoretical and Computational Results
作者： Paul A. Ruud , Vassilis A. Hajivassiliou , Daniel McFadden
DOI:
关键词: Covariance matrix 、 Mathematical optimization 、 Normal 、 Discrete mathematics 、 Importance sampling 、 Multivariate normal distribution 、 Monte Carlo integration 、 Multiple integral 、 Mathematics 、 Omega 、 Orthant
摘要: An extensive literature in econometrics and numerical analysis has considered the problem of evaluating multiple integral P({bold B};mu,Omega) = integral_{a}^{b} n(v - mu, Omega)dv E_{V}{bold 1}(V {bold B}), where V is a m-dimensional normal vector with mean covariance matrix , density mu Omega)and 1(V B}) an indicator for event B {V |
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