QSCMVN: A Matlab function with supporting functions, for the numerical computation of multivariate normal distribution values. The method used is similar to the method used by the Fortran MVNDST software, but the quasi-random integration point set is different and the integration region may be specified by a set of linear inequalities in the form a < c*x < b, where a and b are m-vectors and c is an mxn matrix. QSCMVNV is a vectorized version of this software which is usually at lot faster than QSCMVN. QSCLATMVNV is a vectorized version of QSCMVN which uses lattice rules for the quasi-random integration point set.
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Cranley, R.; Patterson, T. N. L.: Randomization of number theoretic methods for multiple integration (1976)
- Niederreiter, Harald: On a number-theoretical integration method (1972)