Computation of multivariate normal and t probabilities:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2009
|
| Series: | Lecture notes in statistics
195 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 124 S. graph. Darst. |
| ISBN: | 9783642016882 |
Staff View
MARC
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| 245 | 1 | 0 | |a Computation of multivariate normal and t probabilities |c Alan Genz ; Frank Bretz |
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Record in the Search Index
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| adam_text | CONTENTS INTRODUCTION 1 1.1 A HISTORICAL PERSPECTIVE 1 1.2 PROBLEM
SETTING 2 1.3 SOME EXAMPLES 4 1.3.1 SIMPLE THREE-DIMENSIONAL EXAMPLES 4
1.3.2 FIVE-DIMENSIONAL EXAMPLES 5 1.3.3 EIGHT-DIMENSIONAL EXAMPLES 6
SPECIAL CASES 7 2.1 BIVARIATE AND TRIVARIATE PROBABILITIES 7 2.1.1
BIVARIATE PROBABILITIES 7 2.1.2 TRIVARIATE PROBABILITIES 10 2.2 SPECIAL
INTEGRATION REGIONS 11 2.2.1 ORTHANTS 11 2.2.2 ELLIPSOIDS 13 2.2.3
HYPERBOLOIDS 15 2.3 SPECIAL CORRELATION STRUCTURES 16 2.3.1 DIAGONAL AND
REDUCED RANK CORRELATION MATRICES 16 2.3.2 BANDED CORRELATION MATRICES
18 METHODS THAT APPROXIMATE THE PROBLEM 21 3.1 BOOLE S FORMULA
APPROXIMATIONS AND BOUNDS 21 3.2 CORRELATION MATRIX APPROXIMATIONS 24
3.3 OTHER APPROXIMATIONS 25 3.4 ASYMPTOTIC EXPANSIONS 26 METHODS THAT
APPROXIMATE THE INTEGRAL 29 4.1 REPARAMETERIZATIONS 29 4.1.1
SPHERICAL-RADIAL TRANSFORMATION METHODS 29 4.1.2 SEPARATION-OF-VARIABLES
METHODS 31 4.1.3 VARIABLE REORDERING 36 BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/994282842 DIGITALISIERT DURCH 123 VIII CONTENTS 4.1.4
TRIDIAGONAL DECOMPOSITION METHODS 39 4.2 INTEGRATION METHODS 41 4.2.1
MONTE CARLO METHODS 41 4.2.2 QUASI-MONTE CARLO METHODS 45 4.2.3
POLYNOMIAL INTEGRATION METHODS 50 4.2.4 SUBREGION ADAPTIVE METHODS 51
4.2.5 SPARSE-GRID METHODS 52 4.2.6 OTHER NUMERICAL INTEGRATION METHODS
53 5 FURTHER TOPICS 55 5.1 LINEAR INEQUALITY CONSTRAINTS 55 5.2 SINGULAR
DISTRIBUTIONS 56 5.3 RELATED INTEGRALS 59 5.3.1 A = R K 59 5.3.2 A = [A,
B] 60 5.4 NUMERICAL TESTS 60 5.5 SOFTWARE IMPLEMENTATIONS 61 5.5.1 R 62
5.5.2 MATLAB 64 5.6 MISCELLANEOUS AND FURTHER REFERENCES 68 6
APPLICATIONS 71 6.1 MULTIPLE COMPARISON PROCEDURES 71 6.1.1 MULTIPLE
TESTING IN LINEAR MODELS 71 6.1.2 NUMERICAL COMPUTATION OF CRITICAL
VALUES 75 6.2 BAYESIAN STATISTICS AND FINANCE APPLICATIONS 79 6.2.1 THE
STANDARDIZING TRANSFORMATION 81 6.2.2 THE MULTIVARIATE NORMAL
TRANSFORMATION 82 6.2.3 THE MULTIVARIATE T TRANSFORMATION 82 6.2.4 THE
SPLIT-* TRANSFORMATIONS 84 6.2.5 SOME EXAMPLES 85 A DESCRIPTION OF THE R
FUNCTIONS 91 B DESCRIPTION OF THE MATLAB FUNCTIONS 101 REFERENCES 105
INDEX
|
| any_adam_object | 1 |
| author | Genz, Alan Bretz, Frank 1971- |
| author_GND | (DE-588)12145326X |
| author_facet | Genz, Alan Bretz, Frank 1971- |
| author_role | aut aut |
| author_sort | Genz, Alan |
| author_variant | a g ag f b fb |
| building | Verbundindex |
| bvnumber | BV035670084 |
| callnumber-first | Q - Science |
| callnumber-label | QA273 |
| callnumber-raw | QA273 |
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| ctrlnum | (OCoLC)401151191 (DE-599)DNB994282842 |
| dewey-full | 519.5 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5 |
| dewey-search | 519.5 |
| dewey-sort | 3519.5 |
| dewey-tens | 510 - Mathematics |
| discipline | Informatik Mathematik |
| format | Book |
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| id | DE-604.BV035670084 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:42:55Z |
| institution | BVB |
| isbn | 9783642016882 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017724370 |
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| physical | VIII, 124 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in statistics |
| series2 | Lecture notes in statistics |
| spelling | Genz, Alan Verfasser aut Computation of multivariate normal and t probabilities Alan Genz ; Frank Bretz Berlin [u.a.] Springer 2009 VIII, 124 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 195 Multivariate Normalverteilung t-Verteilung - Multivariate Wahrscheinlichkeitsverteilung Multivariate analysis Probabilities t-Verteilung (DE-588)4300601-2 gnd rswk-swf Multivariate Wahrscheinlichkeitsverteilung (DE-588)4205373-0 gnd rswk-swf Multivariate Normalverteilung (DE-588)4227589-1 gnd rswk-swf Verteilung (DE-588)4432264-1 gnd rswk-swf Multivariate Normalverteilung (DE-588)4227589-1 s DE-604 t-Verteilung (DE-588)4300601-2 s Multivariate Wahrscheinlichkeitsverteilung (DE-588)4205373-0 s Verteilung (DE-588)4432264-1 s 1\p DE-604 Bretz, Frank 1971- Verfasser (DE-588)12145326X aut Erscheint auch als Online-Ausgabe 978-3-642-01689-9 Lecture notes in statistics 195 (DE-604)BV002447846 195 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017724370&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Genz, Alan Bretz, Frank 1971- Computation of multivariate normal and t probabilities Lecture notes in statistics Multivariate Normalverteilung t-Verteilung - Multivariate Wahrscheinlichkeitsverteilung Multivariate analysis Probabilities t-Verteilung (DE-588)4300601-2 gnd Multivariate Wahrscheinlichkeitsverteilung (DE-588)4205373-0 gnd Multivariate Normalverteilung (DE-588)4227589-1 gnd Verteilung (DE-588)4432264-1 gnd |
| subject_GND | (DE-588)4300601-2 (DE-588)4205373-0 (DE-588)4227589-1 (DE-588)4432264-1 |
| title | Computation of multivariate normal and t probabilities |
| title_auth | Computation of multivariate normal and t probabilities |
| title_exact_search | Computation of multivariate normal and t probabilities |
| title_full | Computation of multivariate normal and t probabilities Alan Genz ; Frank Bretz |
| title_fullStr | Computation of multivariate normal and t probabilities Alan Genz ; Frank Bretz |
| title_full_unstemmed | Computation of multivariate normal and t probabilities Alan Genz ; Frank Bretz |
| title_short | Computation of multivariate normal and t probabilities |
| title_sort | computation of multivariate normal and t probabilities |
| topic | Multivariate Normalverteilung t-Verteilung - Multivariate Wahrscheinlichkeitsverteilung Multivariate analysis Probabilities t-Verteilung (DE-588)4300601-2 gnd Multivariate Wahrscheinlichkeitsverteilung (DE-588)4205373-0 gnd Multivariate Normalverteilung (DE-588)4227589-1 gnd Verteilung (DE-588)4432264-1 gnd |
| topic_facet | Multivariate Normalverteilung t-Verteilung - Multivariate Wahrscheinlichkeitsverteilung Multivariate analysis Probabilities t-Verteilung Multivariate Wahrscheinlichkeitsverteilung Verteilung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017724370&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV002447846 |
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