Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that always have exactly the same mean, covariance and Mardia multivariate skewness and kurtosis. This paper investigates how the properties of parametric, data-specific and...

Specific choices about how to represent complex networks can have a substantial impact on the execution time required for the respective construction and analysis of those structures. In this work we report a comparison of the effects of representing complex networks statically by adjacency...

Curnow and Dunnett (Curnow, R. N., C. W. Dunnett. 1962. The numerical evaluation of certain multivariate normal integrals. Ann. Math. Statist. 33 571--579.) derive a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general...

Compound option valuation formulae give rise to the summation of a series of multinormal distribution functions. This paper presents an identity on sums of nested multinormal distributions of arbitrary dimension. We show that this identity generalizes some well-known low order identities for the...