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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
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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
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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

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