Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions

Paul N. Somerville

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Abstract

An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and x2 distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.

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Files:
Paper Elip.out: used for the program output elip.in: instructions for the program mvelps.for: Fortran 90 program to evaluate multivariate normal and multivariate-t integrals over a general ellipsoid
Published:
Jun 27, 2001
DOI:
10.18637/jss.v006.i08