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Biometrika 1970 57(3):657-660; doi:10.1093/biomet/57.3.657
© 1970 by Biometrika Trust
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On the application of the method of Das in evaluating a multivariate normal integral

J. T. WEBSTER

Southern Methodist University

Das (1956) presented a method of evaluating pr(x1 > a1, ..., xn > an) for a multivariate normal distribution which reduced the dimension of integration by the use of the univariate cumulative normal. This note investigates properties of the variance-co variance matrix that indicate how small this dimension of integration might be and presents a method of detenmning the coefficients for the expression of Das.


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