Fast computation of high-dimensional multivariate normal probabilities
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- Tamás Szántai, 2000. "Improved Bounds and Simulation Procedures on the Value of the Multivariate Normal Probability Distribution Function," Annals of Operations Research, Springer, vol. 100(1), pages 85-101, December.
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- Shuang Zhu & R. Pace, 2014. "Modeling Spatially Interdependent Mortgage Decisions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 598-620, November.
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Keywords
Multivariate normal distribution Monte Carlo methods Singular values;Statistics
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