Orthant Probabilities for the Quadrivariate Normal Distribution
Abrahamson, I. G.
Ann. Math. Statist., Tome 35 (1964) no. 4, p. 1685-1703 / Harvested from Project Euclid
Let $x_1, x_2, x_3, x_4$ be jointly distributed with a quadrivariate normal distribution with mean 0, and correlation matrix $\{\rho_{ij}\}$. The orthant probability, i.e. the probability that all the $x_i$'s will be simultaneously positive, is not, in general, given by a closed expression; but is easily computed in a special class of cases, here called orthoscheme probabilities. It is explicitly shown how the general orthant probability can be expressed as a linear combination of six orthoscheme probabilities. Orthoscheme probabilities have been tabulated by the author and instructions for the use of this table [1] are given. In addition, an abridged table is appended.
Publié le : 1964-12-14
Classification: 
@article{1177700391,
     author = {Abrahamson, I. G.},
     title = {Orthant Probabilities for the Quadrivariate Normal Distribution},
     journal = {Ann. Math. Statist.},
     volume = {35},
     number = {4},
     year = {1964},
     pages = { 1685-1703},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177700391}
}
Abrahamson, I. G. Orthant Probabilities for the Quadrivariate Normal Distribution. Ann. Math. Statist., Tome 35 (1964) no. 4, pp.  1685-1703. http://gdmltest.u-ga.fr/item/1177700391/