The evaluation of general non‐centred orthant probabilities
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DOI: 10.1111/1467-9868.00382
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Cited by:
- Z. I. Botev, 2017. "The normal law under linear restrictions: simulation and estimation via minimax tilting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 125-148, January.
- Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024. "Pricing first-touch digitals with a multi-step double boundary and American barrier options," Finance Research Letters, Elsevier, vol. 59(C).
- Phinikettos, Ioannis & Gandy, Axel, 2011. "Fast computation of high-dimensional multivariate normal probabilities," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1521-1529, April.
- Jafari Khaledi, Majid & Zareifard, Hamid & Boojari, Hossein, 2023. "A spatial skew-Gaussian process with a specified covariance function," Statistics & Probability Letters, Elsevier, vol. 192(C).
- Madar, Vered, 2015. "Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 142-147.
- A. Hayter & Y. Lin, 2012. "The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution," Computational Statistics, Springer, vol. 27(3), pages 459-471, September.
- Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023. "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, vol. 54(C).
- Paul Kabaila & Nishika Ranathunga, 2021. "Computation of the expected value of a function of a chi-distributed random variable," Computational Statistics, Springer, vol. 36(1), pages 313-332, March.
- Jietao Xie & Juan Wu, 2020. "Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence," INFORMS Journal on Computing, INFORMS, vol. 32(1), pages 164-171, January.
- Jacques Huguenin & Florian Pelgrin & Alberto Holly, 2009. "Estimation of multivariate probit models by exact maximum likelihood," Working Papers 0902, University of Lausanne, Institute of Health Economics and Management (IEMS).
- Barry C. Arnold & Robert J. Beaver, 2007. "Skewing Around: Relationships Among Classes of Skewed Distributions," Methodology and Computing in Applied Probability, Springer, vol. 9(2), pages 153-162, June.
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