Hierarchical-block conditioning approximations for high-dimensional multivariate normal probabilities
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DOI: 10.1007/s11222-018-9825-3
Abstract: This paper presents a new method to estimate large-scale multivariate normal probabilities. The approach combines a hierarchical representation with processing of the covariance matrix that decomposes the n-dimensional problem into a sequence of smaller m-dimensional… read more here.
Keywords: conditioning; multivariate normal; normal probabilities; method ... See more keywords