Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions

Paul N. Somerville

Journal of Statistical Software, 2001, vol. 006, issue i08

Abstract: An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and x2 distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.

Date: 2001-06-27
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:006:i08

DOI: 10.18637/jss.v006.i08

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