Comparison of Methods for the Computation of Multivariate<i>t</i>Probabilities 论文

详细信息

发表期刊/会议

Journal of Computational and Graphical Statistics

发表日期

2002-12-01

发表年份

2002

摘要

This article compares methods for the numerical computation of multivariate t probabilities for hyper-rectangular integration regions. Methods based on acceptance-rejection, spherical-radial transformations, and separation-of-variables transformations are considered. Tests using randomly chosen problems show that the most efficient numerical methods use a transformation developed by Genz for multivariate normal probabilities. These methods allow moderately accurate multivariate t probabilities to be quickly computed for problems with as many as 20 variables. Methods for the noncentral multivariate t distribution are also described.