A representation for quadrivariate normal positive orthant probabilities |
| |
Authors: | William V Gehrlein |
| |
Institution: | University of Delaware , Newark, Delaware |
| |
Abstract: | For four variables x1,x2, x3 and x4, which have a quadrivariate normal distribution with means equal to zero, the positive ortrhant probability is the probability that all of the x.'s are simultaneously positive. A representation for the quadrivariate normal positive orthant probability is obtained and it is a function of no more than three integrals over a single variable. Extensive testing has shown this representation to be very efficient on a computational basis. |
| |
Keywords: | orthant probability quadrivariate normal distribution |
|
|