Approximations to the multivariate normal integral |
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Authors: | Zvi Drezner |
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Affiliation: | Department of Management Science , California State University-Fullerton , Fullerton, CA, 92634 |
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Abstract: | We propose a simple and efficient way to approximate multivariate normal probabilities using univariate and bivariate probabilities. The approximation is computationally tested for the trivariate and quadrivariate normal probabilities. A few problems of higher dimensions were also tested. |
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Keywords: | Multivariate Normal Probabilities Approximation |
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