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Results tagged with pr.probability
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user 32809
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
0
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Rapid evaluation of multivariate normal integral
I ended up using standard Gauss-Legendre quadrature for this problem, which provides a reasonably good approximation using relatively few abscissae. Brendan's solution (Gauss-Hermite) did a pretty hor …
- 101
10
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3
answers
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Rapid evaluation of multivariate normal integral
I'm implementing a model that requires me to numerically evaluate a multivariate normal integral of the following form
$$\int_{-\infty}^\infty \phi(z)\displaystyle\prod_{i=1}^N \Phi(a_iz+b_i) \, dz, …
- 101