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Orthant probabilities and Gaussian Markov processes
Published online by Cambridge University Press: 14 July 2016
Abstract
A method is given for calculating the probability that n terms of a Gaussian first-order autoregressive series lie between any specified limits where n may be as large as 20 or more.
Keywords
- Type
- Part 7—Algorithms and Computations
- Information
- Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 413 - 417
- Copyright
- Copyright © 1986 Applied Probability Trust