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

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

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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.

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