On the Normal Orthant Probability with a Tri-Diagonal Correlation Matrix
Hongjie Sun, Chooichiro Asano, 宏傑 孫, 長一郎 浅野, ホンジェ ソン, チョウイチロウ アサノ · QIR (Kyushu University Institutional Repository) (Kyushu University) · 1990
We propose a new method to reduce the normal orthant probability with a positive definite tri-diagonal correlation matrix. We also investigate some properties of this method. This method is sim-ple and is suitable to use computer to evaluate the normal orthant probability. For practical purpose, we give the reduced formulas for dimensions from 5 to 9. 1.