an:03911378
Zbl 0571.60023
Russell, N. S.; Farrier, D. R.; Howell, J.
Evaluation of multinormal probabilities using Fourier series expansions
EN
J. R. Stat. Soc., Ser. C 34, 49-53 (1985).
00150828
1985
j
60E99 42B05
multinormal probability; probability integral; infinite limits
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.