Bounds on a Multivariate Normal Integral.
CLEMSON UNIV S C DEPT OF MATHEMATICAL SCIENCES
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Let X X sub i,...,X sub n be a random vector distributed according to multivariate normal distribution. Lower and upper bounds are given for the probability P X sub i or a sub i, i 1,...,n. The given results have application in a problem of estimating a change in the distribution of a sequence of random variables. Author
- Statistics and Probability