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Multivariate Normal Probabilities with Error Bound

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  • Mark J. Schervish

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  • Mark J. Schervish, 1984. "Multivariate Normal Probabilities with Error Bound," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(1), pages 81-94, March.
    • Handle: RePEc:bla:jorssc:v:33:y:1984:i:1:p:81-94
    DOI: 10.2307/2347670
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    Cited by:

    1. Grechanovsky, Eugene & Pinsker, Ilia, 1995. "Conditional p-values for the F-statistic in a forward selection procedure," Computational Statistics & Data Analysis, Elsevier, vol. 20(3), pages 239-263, September.
    2. Susan Murray & Anastasios A. Tsiatis, 1999. "Sequential Methods for Comparing Years of Life Saved in the Two-Sample Censored Data Problem," Biometrics, The International Biometric Society, vol. 55(4), pages 1085-1092, December.
    3. József Bukszár & András Prékopa, 2001. "Probability Bounds with Cherry Trees," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 174-192, February.
    4. Lee, Jae Won & DeMets, David L., 1999. "Estimation following group sequential tests with repeated measurements data," Computational Statistics & Data Analysis, Elsevier, vol. 32(1), pages 69-77, November.
    5. A. Cancelliere & G. Mauro & B. Bonaccorso & G. Rossi, 2007. "Drought forecasting using the Standardized Precipitation Index," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 21(5), pages 801-819, May.
    6. Bart Spiessens & Emmanuel Lesaffre & Geert Verbeke & KyungMann Kim, 2002. "Group Sequential Methods for an Ordinal Logistic Random-Effects Model Under Misspecification," Biometrics, The International Biometric Society, vol. 58(3), pages 569-575, September.
    7. Siu Hung Cheung & Ka Ho Wu & Wai Sum Chan, 1998. "Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 28(3), pages 297-306, September.
    8. Phinikettos, Ioannis & Gandy, Axel, 2011. "Fast computation of high-dimensional multivariate normal probabilities," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1521-1529, April.
    9. Lee, Jae Won & Sather, Harland N., 1998. "A supremum version of logrank test for detecting late occurring survival differences," Computational Statistics & Data Analysis, Elsevier, vol. 26(3), pages 303-311, January.
    10. James C. Fu & Liqun Wang, 2002. "A Random-Discretization Based Monte Carlo Sampling Method and its Applications," Methodology and Computing in Applied Probability, Springer, vol. 4(1), pages 5-25, March.
    11. repec:jss:jstsof:05:i05 is not listed on IDEAS
    12. Per A. Brodtkorb, 2006. "Evaluating Nearly Singular Multinormal Expectations with Application to Wave Distributions," Methodology and Computing in Applied Probability, Springer, vol. 8(1), pages 65-91, March.
    13. Tsantas, N., 1995. "Stochastic analysis of a non-homogeneous Markov system," European Journal of Operational Research, Elsevier, vol. 85(3), pages 670-685, September.
    14. W. Kuiper & Anton Cozijnsen, 2011. "The Performance of German Firms in the Business-Related Service Sectors Revisited: Differential Evolution Markov Chain Estimation of the Multinomial Probit Model," Computational Economics, Springer;Society for Computational Economics, vol. 37(4), pages 331-362, April.
    15. A. Hayter & Y. Lin, 2012. "The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution," Computational Statistics, Springer, vol. 27(3), pages 459-471, September.
    16. Garnier, Josselin & Omrane, Abdennebi & Rouchdy, Youssef, 2009. "Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations," European Journal of Operational Research, Elsevier, vol. 198(3), pages 848-858, November.
    17. Martinetti, Davide & Geniaux, Ghislain, 2017. "Approximate likelihood estimation of spatial probit models," Regional Science and Urban Economics, Elsevier, vol. 64(C), pages 30-45.
    18. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    19. Jietao Xie & Juan Wu, 2020. "Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence," INFORMS Journal on Computing, INFORMS, vol. 32(1), pages 164-171, January.
    20. Wai-Sum Chan, 1999. "Exact joint forecast regions for vector autoregressive models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 35-44.
    21. Gilli, Manfred & Kellezi, Evis & Pauletto, Giorgio, 2002. "Solving finite difference schemes arising in trivariate option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1499-1515, August.

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