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Improved Bounds and Simulation Procedures on the Value of the Multivariate Normal Probability Distribution Function

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  • Tamás Szántai

Abstract

Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function value are given in the paper. The author's variance reduction technique was based on the Bonferroni bounds involving the first two binomial moments only. The new variance reduction technique is adapted to the most refined new bounds developed in the last decade for the estimation the probability of union respectively intersection of events. Numerical test results prove the efficiency of the simulation procedures described in the paper. Copyright Kluwer Academic Publishers 2000

Suggested Citation

  • 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.
    • Handle: RePEc:spr:annopr:v:100:y:2000:i:1:p:85-101:10.1023/a:1019211000153
    DOI: 10.1023/A:1019211000153
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    Cited by:

    1. 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.

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