Conditional Probability and Conditional Expectation of a Multivariate Normal Random Variable Over a Rectangle

Gassmann HI (1984). Conditional Probability and Conditional Expectation of a Multivariate Normal Random Variable Over a Rectangle. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-84-100

[img]
Preview
Text
WP-84-100.pdf

Download (514kB) | Preview

Abstract

The idea of orthonormal variates, designed by Deak to find conditional probabilities of a multivariate normal random variable, is extended to compute the conditional expectation given that the observation falls inside an n-dimensional rectangle. Another possible technique is presented in the form of a transformation to independence. Numerical results are provided to illustrate the performance of the methods.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:54
Last Modified: 20 Jul 2016 21:24
URI: http://pure.iiasa.ac.at/2418

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313