NASA NTRS · 19760000288
Multivariate normal integration
Abstract
Monte Carlo program evaluates integrals over rectangular regions for dimensions less than six and over elliptical regions in bivariate case. Program gives positive definite symmetric variance/covariance matrix factorization and calculates reciprocal of lower triangular matrix and product of diagonal elements of triangular matrix.
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Falls, L. W., Carter, M. C.. 1976-08-01. Multivariate normal integration. https://ntrs.nasa.gov/citations/19760000288
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