An efficient Monte Carlo simulation algorithm is developed for estimating the probability content of rectangular domains in the multinormal probability space. The algorithm makes use of the properties of the multinormal distribution, as well as the concept of importance sampling. Accurate estimates
โฆ LIBER โฆ
Developments in the Theory and Application of Importance Sampling
โ Scribed by Hahn, P.; Jeruchim, M.
- Book ID
- 117913245
- Publisher
- IEEE
- Year
- 1987
- Tongue
- English
- Weight
- 924 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0090-6778
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