In this article, we derive a series expansion of the multivariate normal probability integrals based on Fourier series. The basic idea is to transform the limits of each integral from hi to ∞ to be ...
SIAM Journal on Numerical Analysis, Vol. 42, No. 5 (2005), pp. 2098-2117 (20 pages) We give a fast numerical algorithm to evaluate a class of multivariable integrals ...
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