Computation of Multivariate Normal and t Probabilities

• Main Authors: Genz, Alan. (Author), Bretz, Frank. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Statistics, 195
• Subjects: Statistics.; Mathematical statistics.; Statistics and Computing/Statistics Programs.; Statistical Theory and Methods.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-01689-9

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...

Table of Contents:

• 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.