Computation of Multivariate Normal and t Probabilities

by Alan Genz Frank Bretz, Frank Bretz

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.

136 pages, Paperback

First published January 1, 2009