An approximation to bivariate and trivariate normal integrals

H. P. HONG

doi:10.1080/02630259908970256

An approximation to bivariate and trivariate normal integrals

H. P. HONG^*

^*Corresponding author for this work

Western University

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld, Cox and Wermuth and Mendell and Elston for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.

Original language	English
Pages (from-to)	115-127
Number of pages	13
Journal	Civil Engineering and Environmental Systems
Volume	16
Issue number	2
DOIs	https://doi.org/10.1080/02630259908970256
State	Published - 1999
Externally published	Yes

Keywords

Bivariate normal
Concentrations
Taylor series
Trivariate normal

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10.1080/02630259908970256

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title = "An approximation to bivariate and trivariate normal integrals",

abstract = "A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld, Cox and Wermuth and Mendell and Elston for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.",

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author = "HONG, \{H. P.\}",

year = "1999",

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AU - HONG, H. P.

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N2 - A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld, Cox and Wermuth and Mendell and Elston for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.

AB - A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld, Cox and Wermuth and Mendell and Elston for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.

KW - Bivariate normal

KW - Concentrations

KW - Taylor series

KW - Trivariate normal

UR - https://www.scopus.com/pages/publications/0032816356

U2 - 10.1080/02630259908970256

DO - 10.1080/02630259908970256

M3 - 文章

AN - SCOPUS:0032816356

SN - 1028-6608

VL - 16

SP - 115

EP - 127

JO - Civil Engineering and Environmental Systems

JF - Civil Engineering and Environmental Systems

IS - 2

ER -

An approximation to bivariate and trivariate normal integrals

Abstract

Keywords

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