Numerical integration rules for multivariate inversions
- Working from a known characteristic function, integration rules for the computation of the multivariate distribution function are derived. Procedures for the automatic selection of step sizes are one particular strength of the proposed method. Examples of the use of the procedure are given.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- Taylor and Francis
- Copyright date:
- The full-text of this article is not currently available in ORA. Citation: Shephard, N. (1991). 'Numerical integration rules for multivariate inversions', Journal of Statistical Computation and Simulation, 39(1 & 2), 37-46. [Available at http://www.informaworld.com/smpp/title~content=t713650378~db=all].
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