Numerical Computation of Multivariate Normal Probabilities 1

Alan Genz
Department of Pure and Applied Mathematics
Washington State University
Pullman, WA 99164-3113 USA
Email: alangenz@wsu.edu

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 multiple integration algorithms. Test results are presented that compare implementations of two algorithms that use the transformation, with currently available software.

KEY WORDS: multivariate normal distribution, Monte-Carlo, adaptive integration.






2004-11-30