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Corrigendum: Algorithm 725: Computation of the multivariate normal integral

Corrigendum: Algorithm 725: Computation of the multivariate normal integral Corrigendum: Algorithm 725 Computation of the Multivariate Normal Integral ZVI DREZNER California State University, Fullerton This paper presents a direct computation of the multivariate normal integral by the Gauss Quadrature method. An error control method is given. Results are presented for multivariate integrals consisting of up to twelve normal distributions. A computer program in Fortran is given. Categories and Subject ultzple Descriptors: quadrature; G.1,4 G,3 [Numerical [Mathematics Analysis]: of Quadrature Computing]: and Numerical and Dlf~erentlation ”rn Probability Statistics ”statistical General Additional Terms: Key software Algorithms Words and Phrases: Multivarate Normal Probabihty This algorithm is printed in full was not, in the however, December assigned issue of TOMS, at that time. pp. 470 “480; the algorithm a number Author ™s Economics, Permission not made address: to or copy Department State without fee of Management University, all or part Science, material School of Business provided Admimstration that the copies and are California distributed Fullerton, of this CA 92634, is granted for direct its date commercial and advantage, notice is given the ACM that copyright notice requires and the title of the a fee and/or of the publication and appear, copying is by permission Association for Computing Machinery. To copy otherwise, $3.50 or to republish, specific permission. Q 1993 ACM 0098-3500/93/1200-0546 ACM Transactions on Mathematical Software, Vol 9, No 4, December 1993, Page http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png ACM Transactions on Mathematical Software (TOMS) Association for Computing Machinery

Corrigendum: Algorithm 725: Computation of the multivariate normal integral

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Publisher
Association for Computing Machinery
Copyright
Copyright © 1993 by ACM Inc.
ISSN
0098-3500
DOI
10.1145/168173.168428
Publisher site
See Article on Publisher Site

Abstract

Corrigendum: Algorithm 725 Computation of the Multivariate Normal Integral ZVI DREZNER California State University, Fullerton This paper presents a direct computation of the multivariate normal integral by the Gauss Quadrature method. An error control method is given. Results are presented for multivariate integrals consisting of up to twelve normal distributions. A computer program in Fortran is given. Categories and Subject ultzple Descriptors: quadrature; G.1,4 G,3 [Numerical [Mathematics Analysis]: of Quadrature Computing]: and Numerical and Dlf~erentlation ”rn Probability Statistics ”statistical General Additional Terms: Key software Algorithms Words and Phrases: Multivarate Normal Probabihty This algorithm is printed in full was not, in the however, December assigned issue of TOMS, at that time. pp. 470 “480; the algorithm a number Author ™s Economics, Permission not made address: to or copy Department State without fee of Management University, all or part Science, material School of Business provided Admimstration that the copies and are California distributed Fullerton, of this CA 92634, is granted for direct its date commercial and advantage, notice is given the ACM that copyright notice requires and the title of the a fee and/or of the publication and appear, copying is by permission Association for Computing Machinery. To copy otherwise, $3.50 or to republish, specific permission. Q 1993 ACM 0098-3500/93/1200-0546 ACM Transactions on Mathematical Software, Vol 9, No 4, December 1993, Page

Journal

ACM Transactions on Mathematical Software (TOMS) – Association for Computing Machinery

Published: Dec 1, 1993

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