QSIMVN

QSIMVN: A Matlab function with supporting functions, for the numerical computation of multivariate normal distribution values. The method used is similar to the method used by the Fortran MVNDST software, but the quasi-random integration point set is different. QSIMVNV is a vectorized version of this software which is usually much faster than QSIMVN. This function uses an algorithm given in the paper ”Numerical Computation of Multivariate Normal Probabilities”, in J. of Computational and Graphical Stat., 1(1992), pp. 141-149, by Alan Genz.


References in zbMATH (referenced in 130 articles )

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