Accession Number:

ADA229129

Title:

Approximating Multivariate Normal Orthant Probabilities

Descriptive Note:

Interim rept. 1 Jun 1989-1 Jun 1990,

Corporate Author:

ILLINOIS STATE PSYCHIATRIC INST CHICAGO BIOMETRIC LAB

Report Date:

1990-06-01

Pagination or Media Count:

16.0

Abstract:

The probability integral of the multivariate normal distribution has received considerable attention since Sheppard 1900 and Pearson 1901 published their seminal work on the bivariate normal distribution. The purpose of this report is to present a fast and general approximation for rectangular regions of the multivariate normal distribution function based of Clarks approximation to the moments of the maximum of n jointly normal random variables. The performance of this approximation compared to special cases in which the exact results are known and error-bounded reduction formulae show the accuracy of the approximation to be adequate for many practical applications where multivariate normal probabilities are required. KR

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE