A new reconstruction of multivariate normal orthant probabilities

Peter Craig

Journal Of The Royal Statistical Society Series B, 2008, vol. 70, issue 1, pages 227-243

Abstract: A new method is introduced for geometrically reconstructing orthant probabilities for non-singular multivariate normal distributions. Orthant probabilities are expressed in terms of those for auto-regressive sequences and an efficient method is developed for numerical approximation of the latter. The approach allows more efficient accurate evaluation of the multivariate normal cumulative distribution function than previously, for many situations where the original distribution arises from a graphical model. An implementation is available as a package for the statistical software R and an application is given to multivariate probit models. Copyright 2008 Royal Statistical Society.

Date: 2008
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