Computation of Gaussian orthant probabilities in high dimension

@article{Ridgway2016ComputationOG,
  title={Computation of Gaussian orthant probabilities in high dimension},
  author={James Ridgway},
  journal={Statistics and Computing},
  year={2016},
  volume={26},
  pages={899-916}
}
We study the computation of Gaussian orthant probabilities, i.e. the probability that a Gaussian variable falls inside a quadrant. The Geweke-Hajivassiliou-Keane (GHK) algorithm [Genz, 1992; Geweke, 1991; Hajivassiliou et al., 1996; Keane, 1993], is currently used for integrals of dimension greater than 10. In this paper we show that for Markovian covariances GHK can be interpreted as the estimator of the normalizing constant of a state space model using sequential importance sampling (SIS). We… CONTINUE READING

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