Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416943 | Computational Statistics & Data Analysis | 2011 | 9 Pages |
Abstract
A new efficient method is proposed to compute multivariate normal probabilities over rectangles in high dimensions. The method exploits four variance reduction techniques: conditional Monte Carlo, importance sampling, splitting and control variates. Simulation results are presented that evaluate the performance of the new proposed method. The new method is designed for computing small exceedance probabilities.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Ioannis Phinikettos, Axel Gandy,