An Iterated Integral Representation for a Multivariate Normal Integral Having Covariance Structure.

摘要

It is shown that a km-variate normal probability integral over a rectangular region can be expressed as an interated k-variate normal integral when the sets of m variates each have a certain commonly realized block covariance structure. The latter representation is much easier to evaluate numerically than is the former. This result generalizes previous results for k = 1 of Dunnett and Sobel and Steck and Owen. (Author)