Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
基于条件期望的多元正态矩形区域概率近似
Two new approximations for multivariate normal probabilities for rectangular regions, based on conditional expectations and regression with binary variables, are proposed. One is a second-order approximation that is much more accurate but also more numerically time-consuming than the first-order approximation. A third approximation, based on the moment-generating function of a truncated multivariate normal distribution, is proposed for orthant probabilities only. Its…