A Note on the Evaluation of the Multivariate Normal Integral

Biometrika ◽  
1953 ◽  
Vol 40 (3/4) ◽  
pp. 458 ◽  
Author(s):  
F. N. David
Keyword(s):  
Multivariate Normal ◽  
Multivariate Normal Integral

An Approximation to the Multivariate Normal Integral: Its Application to Multifactorial Qualitative Traits

Biometrics ◽  
1979 ◽  
Vol 35 (2) ◽  
pp. 451 ◽  
Author(s):  
J. Rice ◽  
T. Reich ◽  
C. R. Cloninger ◽  
R. Wette
Keyword(s):  
Multivariate Normal ◽  
Qualitative Traits ◽  
Multivariate Normal Integral

Multivariate normal integrals for highly correlated samples from a wiener process

1967 ◽  
Vol 4 (02) ◽  
pp. 303-312
Author(s):  
J. A. McFadden ◽  
James L. Lewis
Keyword(s):  
Normal Distribution ◽  
Wiener Process ◽  
Multivariate Normal Distribution ◽  
Multivariate Normal ◽  
Highly Correlated ◽  
Multivariate Normal Integral

If X 1, …, Xn obey a multivariate normal distribution with zero means, then the probability that Xi > a for all i = 1, …, n is often called a multivariate normal integral. Such integrals have been considered by various investigators, particularly when a = 0. (For a bibliography, see Gupta.)

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