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Title: Numerical evaluation of singular multivariate normal distributions
Authors: Genz, A.
Kwong, K.-S. 
Keywords: Multivariate normal
Numerical integration
Singular distribution
Statistical computation
Issue Date: 2000
Citation: Genz, A.,Kwong, K.-S. (2000). Numerical evaluation of singular multivariate normal distributions. Journal of Statistical Computation and Simulation 68 (1) : 1-21. ScholarBank@NUS Repository.
Abstract: We present an efficient and accurate method to evaluate multivariate normal probabilities with arbitrary singular correlation matrices. The new method is applied to the construction of simultaneous confidence intervals and simultaneous all pairwise confidence intervals for multinomial proportions when the sample size is sufficiently large.
Source Title: Journal of Statistical Computation and Simulation
ISSN: 00949655
Appears in Collections:Staff Publications

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