QSIMVN swMATH ID: 32329 Software Authors: Alan Genz Description: QSIMVN: A Matlab function with supporting functions, for the numerical computation of multivariate normal distribution values. The method used is similar to the method used by the Fortran MVNDST software, but the quasi-random integration point set is different. QSIMVNV is a vectorized version of this software which is usually much faster than QSIMVN. This function uses an algorithm given in the paper ”Numerical Computation of Multivariate Normal Probabilities”, in J. of Computational and Graphical Stat., 1(1992), pp. 141-149, by Alan Genz. Homepage: http://www.math.wsu.edu/faculty/genz/software/software.html Dependencies: Matlab Related Software: R; mvtnorm; AS 195; Orthants; sn; tmg; DiceOptim; MAGP; WAFO; LBFGS-B; KrigInv; TOMS659; GitHub; AS 6; DiceKriging; EGO; longmemo; AS 106; bootlib; gcmr Cited in: 153 Publications all top 5 Cited by 273 Authors 7 Genton, Marc G. 7 Rabier, Charles-Elie 5 Henrion, René 5 Van Ackooij, Wim 4 Azzimonti, Dario 4 Keyes, David Elliot 4 Turkiyyah, George M. 3 Arellano-Valle, Reinaldo Boris 3 Azaïs, Jean-Marc 3 Bouchara, Frédéric 3 Cao, Jian 3 Commenges, Daniel 3 El Barmi, Hammou 3 Genz, Alan C. 3 Ginsbourger, David 3 Hothorn, Torsten 3 Lindset, Snorre 3 Mao, Chang Xuan 3 Möller, Andris 3 Ramdani, Sofiane 2 Bachoc, François 2 Benavoli, Alessio 2 Böckenholt, Ulf 2 Chan, Wai-Sum 2 Chevalier, Clément 2 Delmas, Céline 2 Hamasaki, Toshimitsu 2 Hickernell, Fred J. 2 Lai, Dejian 2 Lesne, Annick 2 Liquet, Benoit 2 Nikoloulopoulos, Aristidis K. 2 Nomura, Noboru 2 Oishi, Meeko M. K. 2 Picheny, Victor 2 Piga, Dario 2 Römisch, Werner 2 Szántai, Tamás 2 Vinod, Abraham P. 2 Zeileis, Achim 2 Zorgati, Riadh 1 Alexe, Gabriela 1 Alibrandi, Umberto 1 Alqawba, Mohammed Sulaiman 1 Andras, Peter 1 Andrieu, Laetitia 1 Artemov, A. V. 1 Asakura, Koko 1 Asensio, Laura 1 Atiya, Amir F. 1 Bakken, Henrik 1 Bar-Hen, Avner 1 Baril, C. P. 1 Bect, Julien 1 Beranger, Boris 1 Bienek, Tobias 1 Botts, Carsten H. 1 Boys, Richard J. 1 Braga-Neto, Ulisses M. 1 Bremer, Ingo 1 Brodtkorb, Per A. 1 Bukszár, József 1 Burnaev, E. V. 1 Chaganty, Narasinga Rao 1 Chen, Chun-Ying 1 Chen, Sheng 1 Cheung, Siu Hung 1 Chiu, Weihsueh A. 1 Clark, Scott C. 1 Colak, Ertugrul 1 Cozijnsen, Anton J. 1 Crump, Kenny S. 1 Cui, Chang 1 da Veiga, Sébastien 1 Davis-Stober, Clintin P. 1 De Moura, Carlos Eduardo 1 De Oliveira, Victor 1 de Oliveira, Welington Luis 1 De Wolf, J. 1 Declerck, Dominique 1 Degruttola, Victor G. 1 Deng, Guohe 1 Dey, Dipak Kumar 1 Diawara, Norou 1 Dougherty, Edward R. 1 Dubrule, Olivier 1 Duchateau, Luc 1 Durrande, Nicolas 1 Eggleston, Jonathan 1 Elsen, Jean-Michel 1 Emir, Busra 1 Esquível, Manuel Leote 1 Evans, Scott R. 1 Fang, Fuhui 1 Farrow, Malcolm 1 Fasoli, Diego 1 Faugeras, Olivier D. 1 Fayed, Hatem A. 1 Ferretti, Luca 1 Fitzgerald, Anthony P. ...and 173 more Authors all top 5 Cited in 77 Serials 13 Computational Statistics and Data Analysis 7 Journal of Statistical Planning and Inference 6 Biometrics 6 Journal of Multivariate Analysis 6 Journal of Agricultural, Biological, and Environmental Statistics 6 Statistics and Computing 5 Methodology and Computing in Applied Probability 4 Insurance Mathematics & Economics 4 Annals of Operations Research 4 European Journal of Operational Research 3 Biometrical Journal 3 Journal of Mathematical Psychology 3 Quantitative Finance 3 Review of Derivatives Research 3 Journal of Computational and Graphical Statistics 2 Psychometrika 2 Mathematics of Computation 2 Automatica 2 Journal of Econometrics 2 Statistics & Probability Letters 2 Machine Learning 2 Journal of Statistical Computation and Simulation 2 Pattern Recognition 2 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 2 Statistical Papers 2 Computational Management Science 2 Electronic Journal of Statistics 2 Mathematical Geosciences 2 SIAM/ASA Journal on Uncertainty Quantification 1 Advances in Applied Probability 1 The Canadian Journal of Statistics 1 Computer Methods in Applied Mechanics and Engineering 1 Journal of Statistical Physics 1 Physica A 1 Scandinavian Journal of Statistics 1 Theory of Probability and its Applications 1 Journal of the American Statistical Association 1 Metron 1 Operations Research 1 Journal of Time Series Analysis 1 Physica D 1 Applied Numerical Mathematics 1 Statistics 1 Sequential Analysis 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 Neural Computation 1 Japan Journal of Industrial and Applied Mathematics 1 International Journal of Adaptive Control and Signal Processing 1 Journal of Global Optimization 1 Numerical Algorithms 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Communications in Statistics. Theory and Methods 1 Computational Optimization and Applications 1 Computational Economics 1 Test 1 Advances in Computational Mathematics 1 Lifetime Data Analysis 1 Complexity 1 INFORMS Journal on Computing 1 Mathematical Methods of Operations Research 1 Chaos 1 The Econometrics Journal 1 Journal of Applied Statistics 1 Extremes 1 Computational Geosciences 1 Optimization and Engineering 1 Statistical Applications in Genetics and Molecular Biology 1 Statistical Methods and Applications 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Signal, Image and Video Processing 1 Computational & Mathematical Methods in Medicine 1 The Annals of Applied Statistics 1 Set-Valued and Variational Analysis 1 The Journal of Mathematical Neuroscience 1 EURO Journal on Computational Optimization all top 5 Cited in 23 Fields 100 Statistics (62-XX) 33 Probability theory and stochastic processes (60-XX) 29 Numerical analysis (65-XX) 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 19 Operations research, mathematical programming (90-XX) 11 Biology and other natural sciences (92-XX) 5 Systems theory; control (93-XX) 4 Computer science (68-XX) 4 Information and communication theory, circuits (94-XX) 3 Number theory (11-XX) 2 Real functions (26-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Geophysics (86-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Associative rings and algebras (16-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of deformable solids (74-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year