Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions
An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and x2 distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2001-06-01
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| Series: | Journal of Statistical Software |
| Online Access: | http://www.jstatsoft.org/index.php/jss/article/view/2182 |