A Fortran 90 Program for Evaluation of Multivariate Normal and Multivariate t Integrals Over Convex Regions

摘要: Let X' = (X 1 ,X 2 , ... k ) have the multivariate normal distribution f(X) MVN(μ, ∑σ where ∑ is a known positive definite matrix, and σ constant. There are many problems in statistics which require evaluation of f(x) over some convex region A. That P ∫ A dX. If known, then without loss generality, set μ 0, =1 let be correlation matrix. For case rectangular, problem has been addressed by authors. They include Gupta (1963), Milton (1972), Schervish (1984), Deak (1986), Wang Kennedy (1990,1992), Olson Weissfeld (1991), Drezner (1992) Genz (1992,1993). However, regions integration for statistical applications, example multiple comparisons, not rectangular.