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Approximation of certain multivariate integrals

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  • Olson, Jane M.
  • Weissfeld, Lisa A.

Abstract

A Taylor series approximation to multivariate integrals taken with respect to a multivariate probability distribution is proposed and applied to the computation of multivariate normal probabilities and conditional expectations. The approximation does not require that the multivariate distribution have a structured covariance matrix and, in its simplest form, can be written as the product of univariate integrals. The approximation is compared to that of Mendell and Elston (1974) for computing bivariate normal probabilities.

Suggested Citation

  • Olson, Jane M. & Weissfeld, Lisa A., 1991. "Approximation of certain multivariate integrals," Statistics & Probability Letters, Elsevier, vol. 11(4), pages 309-317, April.
    • Handle: RePEc:eee:stapro:v:11:y:1991:i:4:p:309-317
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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.
    2. Somerville, Paul N., 1999. "A Fortran 90 Program for Evaluation of Multivariate Normal and Multivariate t Integrals Over Convex Regions," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 3(i04).
    3. repec:jss:jstsof:03:i04 is not listed on IDEAS

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