The Calculation of Multivariate Normal Probabilities Using a Re-Summed Tetrachoric Series Approximation
| Year of publication: |
2017
|
|---|---|
| Authors: | Clayton, Michael A. |
| Publisher: |
[2017]: [S.l.] : SSRN |
| Subject: | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
| Description of contents: |
An algorithm is given for calculating multivariate normal probabilities and conditional densities that is based on a re-summation of a (Mehler-type) correlation series expansion
|
freely available
| Extent: | 1 Online-Ressource (26 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 24, 2016 erstellt |
| Other identifiers: | 10.2139/ssrn.2829177 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012968358