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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
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