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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/2452 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/2452 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/2452 archive 351 disk0/00/00/24/18 2016-01-15 01:54:31 2021-08-27 17:11:41 2016-01-15 01:54:31 monograph show 2 Gassmann H.I. Conditional Probability and Conditional Expectation of a Multivariate Normal Random Variable Over a Rectangle pub iis_met prog_ado 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. 1984-12 published WP-84-100 WP-84-100 public working_paper IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book