Russell, N. S.; Farrier, D. R.; Howell, J. Evaluation of multinormal probabilities using Fourier series expansions. (English) Zbl 0571.60023 J. R. Stat. Soc., Ser. C 34, 49-53 (1985). With the aid of Fourier series expansions, the probability integral is converted to one having infinite limits. An algorithm is then developed to evaluate the resulting integral. Cited in 2 ReviewsCited in 1 Document MSC: 60E99 Distribution theory 42B05 Fourier series and coefficients in several variables Keywords:multinormal probability; probability integral; infinite limits PDFBibTeX XMLCite \textit{N. S. Russell} et al., J. R. Stat. Soc., Ser. C 34, 49--53 (1985; Zbl 0571.60023) Full Text: DOI