On the Normal Orthant Probability with a Tri-Diagonal Correlation Matrix
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概要
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We propose a new method to reduce the normal orthant probability with a positive definite tridiagonal correlation matrix. We also investigate some properties of this method. This method is simple and is suitable to use computer to evaluate the normal orthant probability. For practical purpose, we give the reduced formulas for dimensions from 5 to 9.
- 九州大学大学院総合理工学研究科の論文
- 1990-06-01
九州大学大学院総合理工学研究科 | 論文
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