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Orthants

swMATH ID: 14755
Software Authors: Craig, P.
Description: A new reconstruction of multivariate normal orthant probabilities. A new method is introduced for geometrically reconstructing orthant probabilities for non-singular multivariate normal distributions. Orthant probabilities are expressed in terms of those for auto-regressive sequences and an efficient method is developed for numerical approximation of the latter. The approach allows more efficient accurate evaluation of the multivariate normal cumulative distribution function than previously, for many situations where the original distribution arises from a graphical model. An implementation is available as a package for the statistical software R and an application is given to multivariate probit models.
Homepage: http://www.maths.dur.ac.uk/~dma0psc/orthants/
Dependencies: R
Related Software: QSIMVN; R; tmg; mvtnorm; sn; AS 195; HdBCS; NUTS; BayesTree; PRMLT; BartPy; qar-0.1; George; BLAS; KrigInv; TOMS659; ggplot2; FINUFFT; FFTW; HapSim
Cited in: 18 Documents

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
A new reconstruction of multivariate normal orthant probabilities. Zbl 05563352
Craig, Peter
2008
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Cited by 36 Authors

3 Nomura, Noboru
2 Genton, Marc G.
2 Keyes, David Elliot
2 Turkiyyah, George M.
1 Anceschi, Niccolo
1 Azzimonti, Dario
1 Bellio, Ruggero
1 Cao, Jian
1 Cattelan, Manuela
1 Colombi, Roberto
1 Craig, Peter S.
1 Durante, Daniele
1 Evans, Steven Neil
1 Fang, Fuhui
1 Fasano, Augusto
1 Forcina, Antonio
1 Ginsbourger, David
1 Grassetti, Luca
1 Harrison-Trainor, Matthew
1 Hartung, Tobias
1 Huang, Jingfang
1 Jansen, Karl
1 Kuipers, Jack B.
1 Kuo, Frances Y.
1 Leovey, Hernan
1 Masarotto, Guido
1 Moffa, Giusi
1 Nuyens, Dirk
1 Ridgway, James
1 Rivest, Ronald Linn
1 Sloan, Ian Hugh
1 Stark, Philip B.
1 Varin, Cristiano
1 Wu, Juan
1 Xie, Jietao
1 Zanella, Giacomo
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Cited in 14 Serials

3 Statistics and Computing
2 Computational Statistics and Data Analysis
2 Journal of Computational and Graphical Statistics
1 Journal of Computational Physics
1 Metrika
1 Journal of the American Statistical Association
1 Mathematical Social Sciences
1 Statistical Science
1 Journal of Statistical Computation and Simulation
1 Advances in Computational Mathematics
1 Bernoulli
1 INFORMS Journal on Computing
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Electronic Journal of Statistics
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Cited in 7 Fields

15 Statistics (62-XX)
6 Numerical analysis (65-XX)
3 Probability theory and stochastic processes (60-XX)
1 Mathematical logic and foundations (03-XX)
1 Ordinary differential equations (34-XX)
1 Quantum theory (81-XX)
1 Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Citations by Year