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An asymptotic expansion for a class of multivariate normal integrals
Published online by Cambridge University Press: 09 April 2009
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Let x = (x1, x2,…, xn) be a normal random vector with zero expectation vector and with a variance-covariance matrix which has 1 for its diagonal elements and ρ for its off-diagonal elements. Consider the quantity where.
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- Copyright © Australian Mathematical Society 1962
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