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Computation of the multivariate normal integral
Drezner Z. (ed) ACM Transactions on Mathematical Software18 (4):470-480,1992.Type:Article
Date Reviewed: Aug 1 1993

The computation of the multivariate normal distribution function is a common problem for statistical analysis in many different applications. The input to this problem is an m × m covariance matrix &Sgr; and the m lower and m upper integration limits for the m-dimensional integral of the multivariate normal density function. These integrals have been considered difficult to compute, particularly when m is large or high accuracy is required. Drezner’s paper describes a method for this problem when all lower integration limits are fixed. The method first converts the problem to a sum of simpler problems with all upper integration limits negative and then uses a sequence of appropriately chosen product Gauss integration rules to provide a sequence of successively more accurate approximations to these integrals. Results from a limited series of tests for the method are compared with results from Schervish’s MULNOR [1]. The new method is much faster for these tests, but still requires exponentially increasing computation time as m increases. While the new method appears to offer a significant improvement over Schervish’s method, two methods that are both probably much faster than either Drezner’s or Schervish’s methods are available. These other methods, developed by Deák [2] and me [3], will usually compute multivariate normal probabilities accurate to three or four decimal digits in times that appear to have only polynomial increase with m, for m as large as 15.

Reviewer:  A. Genz Review #: CR117137
1) Schervish, M. J. Multivariate normal probabilities with error bound. Appl. Stat. 33 (1984), 81–87.
2) Deák, I. Three digit accurate multiple normal probabilities. Numer. Math. 35 (1980), 269–380.
3) Genz, A. Numerical computation of multivariate normal probabilities. J. Comput. Graph. Stat. 1 (1992), 141–150.
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