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Nematrian Reference Library

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ReferenceTitleLink
Genz, A. (1992)Numerical Computation of Multivariate Normal Probabilitieshere

Abstract

"The numerical computation of a multivariate normal probability is often a difficult problem. This article describes a transformation that simplifies the problem and places it into a form that allows efficient calculation using standard numerical integration algorithms. The results are presented that compare implementations of two algorithms that use the transformation, with currently available software."


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