Download or read book Monte Carlo Computation of Some Multivariate Normal Probabilities written by STANFORD UNIV CA DEPT OF STATISTICS. and published by . This book was released on 1987 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The computation of orthant probabilities represents a difficult numerical problem for even modest dimensions. Moran (1984) proposed a Monte Carlo estimator of these quantities. In this paper a more general class of estimators is developed and methods for obtaining efficiency gains over Moran's procedure are discussed. Further, the authors discuss the Monte Carlo evaluation of the multivariate normal distribution function.