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Computation of Multivariate Normal and t Probabilities

Lecture Notes in Statistics Band 195

Frank Bretz, Alan Genz

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  • Computation of Multivariate Normal and t Probabilities

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Beschreibung

Multivariate normal and t probabilities are needed for statistical inference in many applications. Modern statistical computation packages provide functions for the computation of these probabilities for problems with one or two variables. This book describes recently developed methods for accurate and efficient computation of the required probability values for problems with two or more variables. The book discusses methods for specialized problems as well as methods for general problems. The book includes examples that illustrate the probability computations for a variety of applications.

From the reviews:

“This book covers the computation of probabilities associated with the multivariate normal and multivariate t distributions. … synthesizes many results published in statistics journals in recent years on this topic and provides a unique source of information on the computation of these probabilities, which arise very naturally for statistical inference in many modern applications. I believe that it fills a gap in the literature on multivariate statistics. … this book will prove very useful to many statisticians in need of such probabilities for their applications.” (Marc G. Genton, Journal of the American Statistical Association, Vol. 106 (496), December, 2011)

“This monograph is a valuable source of information for people involved in the computations of multivariate normal and multivariate t probabilities. The material is assembled and presented in a consistent easy-flowing format. In general, this is an excellent monograph and a valuable addition to the personal library of people working in the areas of multivariate statistical analysis.” (A. M. Mathai, Zentralblatt MATH, Vol. 1204, 2011)

“This monograph is a valuable source of information for people involved in the computations of multivariate normal and multivariate t probabilities. The material is assembled and presented in a consistent easy-flowing format. In general, this is an excellent monograph and a valuable addition to the personal library of people working in the areas of multivariate statistical analysis.” (A. M. Mathai, Zentralblatt MATH, Vol. 1204, 2011)

From the reviews:
"This book covers the computation of probabilities associated with the multivariate normal and multivariate t distributions. ... synthesizes many results published in statistics journals in recent years on this topic and provides a unique source of information on the computation of these probabilities, which arise very naturally for statistical inference in many modern applications. I believe that it fills a gap in the literature on multivariate statistics. ... this book will prove very useful to many statisticians in need of such probabilities for their applications." (Marc G. Genton, Journal of the American Statistical Association, Vol. 106 (496), December, 2011)

Produktdetails

Format PDF i
Kopierschutz Ja i
Family Sharing Nein i
Text-to-Speech Ja i
Erscheinungsdatum 09.07.2009
Sprache Englisch
EAN 9783642016899
Verlag Springer
Dateigröße 1369 KB

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  • Introduction.- Special Cases.- Methods That Approximate the Problem.- Methods That Approximate the Integral.- Further Topics: Linear Inequality Constraints.- Singular Distributions.- Singular Distributions.- Numerical Tests.- Software Implementations.- Applications.- Description of the R Functions.- Description of the MATLAB Functions.