Improved Bounds and Simulation Procedures on the Value of the Multivariate Normal Probability Distribution Function

Tamás Szántai

Annals of Operations Research, 2000, vol. 100, issue 1, 85-101

Abstract: Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function value are given in the paper. The author's variance reduction technique was based on the Bonferroni bounds involving the first two binomial moments only. The new variance reduction technique is adapted to the most refined new bounds developed in the last decade for the estimation the probability of union respectively intersection of events. Numerical test results prove the efficiency of the simulation procedures described in the paper. Copyright Kluwer Academic Publishers 2000

Keywords: probability bounds; Monte Carlo simulation; variance (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1019211000153

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