Numerical evaluation of multinormal expectations
(2004) In Preprint without journal information- Abstract
- The numerical computation of expectations for (nearly) singular multivariate normal distribution is a difficult problem, which frequently occurs in widely varying statistical contexts. In this article we discuss several strategies to improve the algorithm proposed by Genz and Kwong (2000) when either a moderate accuracy is requested, the correlation structure is strong, and, most importantly, the dimension of the integral is large. Test results for typical problems show an average speedup of 10 using the modified algorithm, but even more is gained as the dimension of the problem increases.
We apply the modified algorithm to compute long-run distributions of Gaussian wave characteristics, a difficult problem where previous... (More) - The numerical computation of expectations for (nearly) singular multivariate normal distribution is a difficult problem, which frequently occurs in widely varying statistical contexts. In this article we discuss several strategies to improve the algorithm proposed by Genz and Kwong (2000) when either a moderate accuracy is requested, the correlation structure is strong, and, most importantly, the dimension of the integral is large. Test results for typical problems show an average speedup of 10 using the modified algorithm, but even more is gained as the dimension of the problem increases.
We apply the modified algorithm to compute long-run distributions of Gaussian wave characteristics, a difficult problem where previous algorithms fail to compute accurate values in reasonable time. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/record/929289
- author
- Brodtkorb, Per Andreas ^{LU}
- organization
- publishing date
- 2004
- type
- Contribution to journal
- publication status
- unpublished
- subject
- in
- Preprint without journal information
- issue
- 2004:29
- publisher
- Manne Siegbahn Institute
- ISSN
- 0348-7911
- language
- English
- LU publication?
- yes
- id
- d4667fc5-92f8-4be2-aeb7-ff747a6ccaf3 (old id 929289)
- date added to LUP
- 2008-01-14 16:04:15
- date last changed
- 2016-04-16 06:32:50
@article{d4667fc5-92f8-4be2-aeb7-ff747a6ccaf3, abstract = {The numerical computation of expectations for (nearly) singular multivariate normal distribution is a difficult problem, which frequently occurs in widely varying statistical contexts. In this article we discuss several strategies to improve the algorithm proposed by Genz and Kwong (2000) when either a moderate accuracy is requested, the correlation structure is strong, and, most importantly, the dimension of the integral is large. Test results for typical problems show an average speedup of 10 using the modified algorithm, but even more is gained as the dimension of the problem increases. <br/><br> We apply the modified algorithm to compute long-run distributions of Gaussian wave characteristics, a difficult problem where previous algorithms fail to compute accurate values in reasonable time.}, author = {Brodtkorb, Per Andreas}, issn = {0348-7911}, language = {eng}, number = {2004:29}, publisher = {Manne Siegbahn Institute}, series = {Preprint without journal information}, title = {Numerical evaluation of multinormal expectations}, year = {2004}, }