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Approximations to the multivariate normal integral
Authors:Zvi Drezner
Affiliation:Department of Management Science , California State University-Fullerton , Fullerton, CA, 92634
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.
Keywords:Multivariate Normal Probabilities  Approximation
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