An approximation of multivariate normal orthant probabilities of dimension 4: A contingency-table approach

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Abstract

The collection of all orthant probabilities for a four-dimensional multivariate normal distribution can be considered as a 2x2x2x2 contingency table. There are no three-way interactions for the contingency table. And the fourth-order interaction is negligible. The six two-way marginal probabilities are sufficient statistics for approximating the 24 orthant probabilities. The iterative proportional fitting algorithm is used to compute the four-dimensional contingency table from the six marginal 2x2 tables.

Original languageEnglish (US)
Pages (from-to)1039-1049
Number of pages11
JournalCommunications in Statistics - Simulation and Computation
Volume16
Issue number4
DOIs
StatePublished - Jan 1 1987

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation

Keywords

  • cross-product ratio
  • interactions
  • iterative proportional fitting algorithm
  • log-linear model

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