Title
Numerical Computation Of Multivariate Normal And Multivariate -T Probabilities Over Ellipsoidal Regions
Keywords
Ellipsoidal regions; Multivariate normal; Multivariate t; Noncentral F; Noncentral t
Abstract
An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and χ2 distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.
Publication Date
1-1-2001
Publication Title
Journal of Statistical Software
Volume
6
Number of Pages
-
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.18637/jss.v006.i08
Copyright Status
Unknown
Socpus ID
4544381056 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/4544381056
STARS Citation
Somerville, Paul N., "Numerical Computation Of Multivariate Normal And Multivariate -T Probabilities Over Ellipsoidal Regions" (2001). Scopus Export 2000s. 361.
https://stars.library.ucf.edu/scopus2000/361