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Multivariate normal integrals for highly correlated samples from a wiener process
Published online by Cambridge University Press: 14 July 2016
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If X1, …, Xn obey a multivariate normal distribution with zero means, then the probability that Xi > a for all i = 1, …, n is often called a multivariate normal integral. Such integrals have been considered by various investigators, particularly when a = 0. (For a bibliography, see Gupta.)
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- Copyright © Sheffield: Applied Probability Trust
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