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THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
Author(s) -
Moran P. A. P.
Publication year - 1984
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1984.tb01266.x
Subject(s) - orthant , monte carlo method , multivariate statistics , mathematics , control variates , statistics , transformation (genetics) , multivariate normal distribution , statistical physics , hybrid monte carlo , physics , markov chain monte carlo , chemistry , biochemistry , gene
Summary The calculation of multivariate normal orthant probabilities is practically impossible when the number of variates is greater than five or six, except in very special cases. A transformation of the integral is obtained which enables quite accurate Monte Carlo estimates to be obtained for a fairly high number of dimensions, particularly if control variates are used.