1975•Journal of Statistical Computation and SimulationRequires access
A short table for computing normal orthant probabilities of dimensions 4 and 5
J. E. Dutt, Tsan-long Lin
Open publisher page 10 citations
Abstract
A short of the quadravariate normal orthant probability P 4 is presented which, except for near singular correlation matrices, is generally accurate to 7+ significant digits. Since the quinvariate orthant probability P 5is expressed in terms of five copies of P 4, such a table is also useful for computing P 5