The numerical evaluation of certain multivariate normal integrals
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摘要
We show that a multivariate normal integral with tridiagonal covariance matrix can be computed efficiently using iterated integration.
论文关键词：Numerical quadrature,normal integrals,multivariate normal integrals
论文评审过程：Received 6 February 1986, Available online 22 March 2002.
论文官网地址：https://doi.org/10.1016/0377-0427(86)90100-7
