Skip to main content
padlock icon - secure page this page is secure

A new reconstruction of multivariate normal orthant probabilities

Buy Article:

$52.00 + tax (Refund Policy)


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.
No References
No Citations
No Supplementary Data
No Article Media
No Metrics

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

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more