正态定限(Orthant)概率
On Normal Orthant Probabilities
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摘要: 本文采用不同以往的方法,对正态定限(Orthant)概率积分施行线性变换与极坐标变换,得到了一个新的递推公式,使积分重数至少降低了3重,并推导了四维正态定限概率的表达式,这对进行数值计算是十分有意义的。Abstract: Normal Orthant probabilities are evaluated by means of a linear transformation followed by a polar coordinates transformation. The procedure leads to a new general n-dimensional recursion, to decrease to n-3 in the dimension of the probable multiple integral at least, and to several special cases in 4-dimensional case, which is very useful for numerical evaluation.