The Evaluation of General Non-Centred Orthant Probabilities

Summary

The evaluation of the cumulative distribution function of a multivariate normal distribution is considered. The multivariate normal distribution can have any positive definite correlation matrix and any mean vector. The approach taken has two stages. In the first stage, it is shown how non-centred orthoscheme probabilities can be evaluated by using a recursive integration method. In the second stage, some ideas of Schläfli and Abrahamson are extended to show that any non-centred orthant probability can be expressed as differences between at most (m−1)! non-centred orthoscheme probabilities. This approach allows an accurate evaluation of many multivariate normal probabilities which have important applications in statistical practice.

Cumulative distribution function, Orthant probability, Orthoscheme probability, Polyhedral cone, Recursive integration