Some Numerical Second and Third Order Accurate Methods for Approximate Calculation of the Probability Measure of a Polyhedron

Evaluation of a multidimensional integral up to a given accuracy is studied. The integrand is subject to certain constraints. The case when the integrand is the density of normal distribution, which is important for applications, is considered as a special case.

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Bibliographic Details
Published in:Computational mathematics and mathematical physics 2019-07, Vol.59 (7), p.1058-1073
Main Author: Nefedov, V. N.
Format: Article
Language:English
Subjects:
Approximation
Computational Mathematics and Numerical Analysis
Mathematics
Mathematics and Statistics
Normal distribution
Statistical analysis
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Description
Summary:Evaluation of a multidimensional integral up to a given accuracy is studied. The integrand is subject to certain constraints. The case when the integrand is the density of normal distribution, which is important for applications, is considered as a special case.
ISSN:0965-5425
1555-6662
DOI:10.1134/S096554251907011X