January 1, 1990

Approximations to the multivariate normal integral

ZDZvi DreznerCalifornia State University, Fullerton

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Abstract

We propose a simple and efficient way to approximate multivariate normal probabilities using univariate and bivariate probabilities. The approximation is computationally tested for the trivariate and quadrivariate normal probabilities. A few problems of higher dimensions were also tested.

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Zvi Drezner (Mon,) studied this question.

synapsesocial.com/papers/6a15bf1d37103a4337a0229c https://doi.org/https://doi.org/10.1080/03610919008812873

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