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Rectangular and wedge-shaped multivariate normal probabilities

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
68
Issue
1
Identifiers
DOI: 10.1016/s0165-1765(00)00224-x
Keywords
  • Normal Distribution
  • Simulation
Disciplines
  • Computer Science

Abstract

Abstract This paper demonstrates an easy way to obtain a substantial gain in precision in the popular GHK simulator, and the RIS simulator that extends it, of multivariate normal probabilities. On average, this gain translates into a 40% saving in computational time. It is also shown that the simulator can be used to compute probabilities over wedge-shaped areas. In this case, the RIS simulator based on the logit distribution has a substantial advantage over the GHK simulator.

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