Evaluation of Multinormal Probabilities Using Fourier Series Expansions

N.S. Russell, D. R. Farrier and J. Howell

Journal of the Royal Statistical Society Series C, 1985, vol. 34, issue 1, 49-53

Abstract: With the aid of Fourier series expansions, the probability integral is converted to one having infinite limits. An algorithm is then developed to evaluate the resulting integral.

Date: 1985
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