THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS |
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| Authors: | P. A. P. Moran |
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| Affiliation: | Australian National University, Canberra |
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| Abstract: | ![]()
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. |
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| Keywords: | Monte Carlo methods Orthant probabilities Control variates |
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