The use of the tetrachoric series for evaluating multivariate normal probabilities

Bernard Harris and Andrew P. Soms

Journal of Multivariate Analysis, 1980, vol. 10, issue 2, 252-267

Abstract: The tetrachoric series is a technique for evaluating multivariate normal probabilities frequently cited in the statistical literature. In this paper we have examined the convergence properties of the tetrachoric series and have established the following. For orthant probabilities, the tetrachoric series converges if ;[varrho]ij; 1/(k - 1) or k is odd and [varrho]ij > 1/(k - 2), 1 = 2 and all [varrho]ij such that the correlation matrix is positive definite is false.

Keywords: Tetrachoric; series; multivariate; normal; distribution (search for similar items in EconPapers)
Date: 1980
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(80)90017-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:10:y:1980:i:2:p:252-267

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().