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Numerical Computation of Multivariate - Normal and Multivariate t Probabilities
Friday, May 14, 2010 - 3:53pm

Portland State University
Fariborz Maseeh Department of Mathematics & Statistics

The Maseeh Mathematics and Statistics Colloquium Series*
presents

Alan Genz
~Department of Mathematics,
Washington State University ~

Numerical Computation of Multivariate
Normal and Multivariate t Probabilities

Abstract:
A review and comparison will be given for the use of Monte Carlo and Quasi-Monte Carlo methods for multivariate Normal and multivariate t distribution computation problems. Spherical-radial transformation and separation-of-variables transformation these problems will be considered. The use of various Monte Carlo methods and Quasi-Monte Carlo methods will be discussed for different application problems.


Friday, May 14th, 2010, 3:15pm
Neuberger Hall Room 381
(Refreshments served at 3:00 in Neuberger Hall Room 344)

* Sponsored by the Maseeh Mathematics and Statistics Colloquium Series Fund and the Fariborz Maseeh Department of Mathematics & Statistics, PSU. This event is free and open to the public.