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A new reconstruction of multivariate normal orthant probabilities

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Summary. 

A new method is introduced for geometrically reconstructing orthant probabilities for non-singular multivariate normal distributions. Orthant probabilities are expressed in terms of those for auto-regressive sequences and an efficient method is developed for numerical approximation of the latter. The approach allows more efficient accurate evaluation of the multivariate normal cumulative distribution function than previously, for many situations where the original distribution arises from a graphical model. An implementation is available as a package for the statistical software R and an application is given to multivariate probit models.
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Keywords: Cumulative distribution function; Fractional fast Fourier transform; Multivariate normal distribution; Multivariate probit model; Orthant probabilities; Orthoscheme; Polyhedral cones

Document Type: Research Article

Affiliations: University of Durham, UK

Publication date: February 1, 2008

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