Computation of Multivariate Normal and t Probabilities
Computation of Multivariate Normal and t Probabilities
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DOI：
10.18637/jss.v033.b02
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发表时间：
2009-07
期刊：
影响因子：
--
通讯作者：
A. Genz;F. Bretz
中科院分区：
文献类型：
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作者：
A. Genz;F. Bretz
在许多应用中，统计推断需要多元正态概率和t概率。现代统计计算软件包提供了计算这些概率的函数，用于一个或两个变量的问题。这本书描述了最近开发的方法，用于精确和有效地计算两个或多个变量的问题所需的概率值。这本书讨论了专门问题的方法以及一般问题的方法。这本书包括说明各种应用的概率计算的例子。
Multivariate normal and t probabilities are needed for statistical inference in many applications. Modern statistical computation packages provide functions for the computation of these probabilities for problems with one or two variables. This book describes recently developed methods for accurate and efficient computation of the required probability values for problems with two or more variables. The book discusses methods for specialized problems as well as methods for general problems. The book includes examples that illustrate the probability computations for a variety of applications.