Premium
CALCULATION OF MULTIVARIATE NORMAL PROBABILITIES—ANOTHER SPECIAL CASE
Author(s) -
Moran P. A. P.
Publication year - 1985
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.1985.tb00548.x
Subject(s) - orthant , zero (linguistics) , mathematics , multivariate normal distribution , multivariate statistics , correlation , combinatorics , matrix (chemical analysis) , statistics , geometry , chemistry , philosophy , linguistics , chromatography
summary The problem of calculating orthant probabilities for sets of variables ( X 1 ,., X n ) is considered in the case where they are jointly normally distributed with zero means and a correlation matrix such that the correlation between X i and X i is zero if | i‐j |> 1. An effective method is given which works for quite large n when the correlations between X i and X i+1 have the values 1/2, 2/5, 3/10, 4/17, 5/26,. and more approximate methods are given for other values. The accuracy is investigated numerically.