A new reconstruction of multivariate normal orthant probabilities
(2007)
Journal Article
Craig, P. (2008). A new reconstruction of multivariate normal orthant probabilities. Journal of the Royal Statistical Society: Series B, 70(1), 227-243. https://doi.org/10.1111/j.1467-9868.2007.00625.x
A new method is introduced for geometrically reconstructing orthant probabilities for non-singular multivariate normal distributions. Orthant probabilities are expressed in terms of those for auto-regressive sequences and an efficient method is devel... Read More about A new reconstruction of multivariate normal orthant probabilities.