IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v30y1989i1p80-97.html
   My bibliography  Save this article

Asymptotic approximations for multivariate integrals with an application to multinormal probabilities

Author

Listed:
  • Breitung, K.
  • Hohenbichler, M.

Abstract

The efficient computation of multinormal integrals is an important problem of multivariate statistics. In this paper it is shown, that using methods of asymptotic analysis, asymptotic expansions for multinormal integrals can be obtained. These results are an extension of a result obtained by Ruben (1964, J. Res. Nat. Bur. Standards B68, No. 1 3-11). While the approximations of Ruben are valid only for domains bounded by hyperplanes, the results given here also apply to domains with nonlinear boundaries.

Suggested Citation

  • Breitung, K. & Hohenbichler, M., 1989. "Asymptotic approximations for multivariate integrals with an application to multinormal probabilities," Journal of Multivariate Analysis, Elsevier, vol. 30(1), pages 80-97, July.
    • Handle: RePEc:eee:jmvana:v:30:y:1989:i:1:p:80-97
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(89)90089-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Papaioannou, Iason & Straub, Daniel, 2021. "Variance-based reliability sensitivity analysis and the FORM α-factors," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    2. Hanak, D.P. & Kolios, A.J. & Biliyok, C. & Manovic, V., 2015. "Probabilistic performance assessment of a coal-fired power plant," Applied Energy, Elsevier, vol. 139(C), pages 350-364.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:30:y:1989:i:1:p:80-97. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.