Computation of Multivariate Normal and t Probabilities

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...

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Bibliographic Details
Main Authors: Genz, Alan, Bretz, Frank (Author)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2009, 2009
Edition:1st ed. 2009
Series:Lecture Notes in Statistics
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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245 0 0 |a Computation of Multivariate Normal and t Probabilities  |h Elektronische Ressource  |c by Alan Genz, Frank Bretz 
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505 0 |a Introduction -- Special Cases -- Methods That Approximate the Problem -- Methods That Approximate the Integral -- Further Topics: Linear Inequality Constraints -- Singular Distributions -- Singular Distributions -- Numerical Tests -- Software Implementations -- Applications -- Description of the R Functions -- Description of the MATLAB Functions 
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520 |a 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