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Reference | Title | Link |
Genz, A. (1992) | Numerical Computation of Multivariate Normal Probabilities | here |
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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