References

Beckers, M. and Haegemans, A. (1992) `Comparison of Numerical Integration Techniques for Multivariate Normal Integrals', Computer Science Department preprint, Catholic University of Leuven, Belgium.

Berntsen, J., Espelid, T.O. and Genz, A. (1991) `Algorithm 698: DCUHRE-An Adaptive Multidimensional Integration Routine for a Vector of Integrals', ACM Transactions on Mathematical Software 17, pp. 452-456.

Cranley, R. and Patterson, T. N. L. (1976) `Randomization of Number Theoretic Methods for Multiple Integration', SIAM J. Numer. Anal. 13, pp. 904-914.

Deák, I. (1980) `Three Digit Accurate Multiple Normal Probabilities' Numer. Math. 35, p. 369-380.

Deák, I. (1986) `Computing Probabilities of Rectangles in Case of Multinormal Distribution' J. Statist. Comput. Simul. 26, p. 101-114.

Deák, I. (1990) Random Number Generation and Simulation, Akadémiai Kiadó, Budapest, Chapter 7.

Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107.

Drezner, Z. (1992) `Computation of the Multivariate Normal Integral', ACM TOMS 18, pp. 450-460.

Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.

Gibson, G. J., Glasbey, C. A. and Elston, D. A. (1992) `Monte-Carlo Evaluation of Multivariate Normal Integrals', Scottish Agricultural Statistics Service preprint, University of Edinburgh, Scotland.

Keast, P. (1973) `Optimal Parameters for Multidimensional Integration', SIAM J. Numer. Anal. 10, pp. 831-838.

Lohr, S. (1990) `Accurate Multivariate Estimation using Triple Sampling', Ann. Statist. 18, pp. 1615-1633.

Marsaglia, G. and Olkin, I. (1984) `Generating Correlation Matrices', SIAM Journal of Scientific and Statistical Computing 5, pp. 470-475.

Schervish, M. (1984) `Multivariate Normal Probabilities with Error Bound', Applied Statistics 33, pp. 81-87.

Tong, Y. L. (1990) The Multivariate Normal Distribution, Springer-Verlag, New York.



Alan C Genz
1999-10-21