A New Reconstruction of Multivariate Normal Orthant Probabilities
多元正态正交区域概率的新重构方法
Summary A new method is introduced for geometrically reconstructing orthant probabilities for non-singular multivariate normal distributions. Orthant probabilities are expressed in terms of those for auto-regressive sequences and an efficient method is developed for numerical approximation of the latter. The approach allows more efficient accurate evaluation of the multivariate normal cumulative distribution function than previously, for many situations where the original…