Accession Number : AD0708671

Title :   ON THE APPLICATION OF THE METHOD OF DAS IN EVALUATING A MULTIVARIATE NORMAL INTEGRAL.

Descriptive Note : Technical rept.,

Corporate Author : SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS

Personal Author(s) : Webster,John T.

Report Date : 28 MAY 1970

Pagination or Media Count : 11

Abstract : Das (1956) presented a method of evaluating Prob (x1 > a1' x2 > a2' ... xn > an) for a multivariate normal distribution which reduced the dimension of integration by the use of the univariate cummulative normal. This note investigates properties of the variance-covariance matrix that indicate how small this dimension of integration might be and presents a method of determining the coefficients for the expression of Das. (Author)

Descriptors :   (*STATISTICAL DISTRIBUTIONS, MULTIVARIATE ANALYSIS), (*INTEGRALS, NUMERICAL INTEGRATION), MATRICES(MATHEMATICS), PROBABILITY, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE