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https://scholarbank.nus.edu.sg/handle/10635/105245
| 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 | URI: | http://scholarbank.nus.edu.sg/handle/10635/105245 | ISSN: | 00949655 |
| Appears in Collections: | Staff Publications |
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