ISYE SEMINAR SERIES-Numerical computation of multivariate t and normal probabilities: Theory &

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Event Details
  • Date/Time:
    • Thursday November 14, 2002
      10:00 am - 10:59 pm
  • Location: IC 209
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISYE SEMINAR SERIES-Numerical computation of multivariate t and normal probabilities: Theory &

Full Summary: ISYE SEMINAR SERIES-Numerical computation of multivariate t and normal probabilities: Theory &

The numerical availability of distribution functions is of fundamental importance for statistical computations. Due to the evaluation of multidimensional integrals, the numerical computation of multivariate distribution functions is much more complex than that of univariate distributions. This is particularly true for the indispensable multivariate t and normal distributions. They occur frequently in such different
application areas as Bayesian computations, multiple comparisons procedures, econometrics, integrated log-likelihood problems, and asymptotic theory in general.

Methods for the numerical computation of multivariate normal and multivariate t probabilities will be reviewed. The focus of the talk will be a description of several effective methods for problems that arise in important practical applications, along with some analysis of the computational complexity of these methods.

Additional Information

In Campus Calendar
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School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:42am
  • Last Updated: Oct 7, 2016 - 9:53pm