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Multivariate normal integrals for highly correlated samples from a wiener process

Published online by Cambridge University Press:  14 July 2016

J. A. McFadden and
James L. Lewis
James L. Lewis
Affiliation:
Purdue University
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Extract

If X 1, …, Xn obey a multivariate normal distribution with zero means, then the probability that Xi > a for all i = 1, …, n is often called a multivariate normal integral. Such integrals have been considered by various investigators, particularly when a = 0. (For a bibliography, see Gupta.)

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Type
Research Papers
Information
Journal of Applied Probability , Volume 4 , Issue 2 , August 1967, pp. 303 - 312
Copyright
Copyright © Sheffield: Applied Probability Trust 

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References

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