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Improved Bounds and Simulation Procedures on the Value of the Multivariate Normal Probability Distribution Function.

Tamás Szántai
Published in: Ann. Oper. Res. (2000)
Keyphrases
  • probability distribution function
  • multivariate normal
  • stochastic simulation
  • upper bound
  • mathematical model
  • worst case
  • covariance matrix
  • similarity measure
  • lower bound
  • probability distribution