Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results

Vassilis Hajivassiliou, Daniel McFadden and Paul Ruud

No 1021R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: An extensive literature in econometrics and in numerical analysis has considered the problem of evaluating the multiple integral P({bold B};mu,Omega) = integral_{a}^{b} n(v - mu, Omega)dv = E_{V}{bold 1}(V in {bold B}), where V is a m-dimensional normal vector with mean mu, covariance matrix , and density n(v - mu Omega)and 1(V in {bold B}) is an indicator for the event B = {V | a

Keywords: Simulation estimation; Monte Carlo integration; discrete choice models; multinomial probit models; importance sampling; acceptance-rejection; Gibbs resampling (search for similar items in EconPapers)
Pages: 43 pages
Date: 1994-10
Note: CFP 924.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in Journal of Econometrics (1996), 72: 85-134

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