Using Complex Integration to Compute Multivariate Normal Probabilities |
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| Authors: | W C Soong Jason C Hsu |
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| Institution: | 1. Department of Statistics , National Chung Hsing University , Taipei , Taiwan , 104, R. O. C.;2. Department of Statistics , Ohio State University , Columbus , OH , 43210 , USA |
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| Abstract: | Abstract The execution of most multiple comparison methods involves, at least in part, the computation of the probability that a multivariate normal or multivarite t random vector is in a hyper-rectangle. In multiple comparison with a control as well as multiple comparison with the best (of normal populations or multinomial cell probabilities), the correlation matrix R of the random vector is nonsingular and of the form    | |
| Keywords: | Complex integration Multiple comparisons Multivariate normal Rectangular probability |
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