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The use of the tetrachoric series for evaluating multivariate normal probabilities

Author

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  • Harris, Bernard
  • Soms, Andrew P.

Abstract

The tetrachoric series is a technique for evaluating multivariate normal probabilities frequently cited in the statistical literature. In this paper we have examined the convergence properties of the tetrachoric series and have established the following. For orthant probabilities, the tetrachoric series converges if ;[varrho]ij; 1/(k - 1) or k is odd and [varrho]ij > 1/(k - 2), 1 = 2 and all [varrho]ij such that the correlation matrix is positive definite is false.

Suggested Citation

  • Harris, Bernard & Soms, Andrew P., 1980. "The use of the tetrachoric series for evaluating multivariate normal probabilities," Journal of Multivariate Analysis, Elsevier, vol. 10(2), pages 252-267, June.
    • Handle: RePEc:eee:jmvana:v:10:y:1980:i:2:p:252-267
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    Cited by:

    1. Martinetti, Davide & Geniaux, Ghislain, 2017. "Approximate likelihood estimation of spatial probit models," Regional Science and Urban Economics, Elsevier, vol. 64(C), pages 30-45.

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