Fast computation of high-dimensional multivariate normal probabilities

Ioannis Phinikettos and Axel Gandy

Computational Statistics & Data Analysis, 2011, vol. 55, issue 4, 1521-1529

Abstract: A new efficient method is proposed to compute multivariate normal probabilities over rectangles in high dimensions. The method exploits four variance reduction techniques: conditional Monte Carlo, importance sampling, splitting and control variates. Simulation results are presented that evaluate the performance of the new proposed method. The new method is designed for computing small exceedance probabilities.

Keywords: Multivariate; normal; distribution; Monte; Carlo; methods; Singular; values (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:4:p:1521-1529

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